Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
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M. Dolores Robles-Fernandez
This paper analyses the nonlinear dynamic behaviour of intraday returns in the Eurostoxx50 cash and futures index which, given their relatively recent appearance, have not yet been analysed. We find that both return series show nonlinear individual dynamics that cannot exclusively be explained by the presence of conditional heteroskedasticity. Our findings also indicate nonlinear dynamic relationships between both market prices. The adjustment process to mispricing errors is nonlinear and shows periods of explosive behaviour. Finally, we distinguish between linear and nonlinear Granger causality and establish that the information flow is bi-directional both in the linear as well as in the nonlinear sphere.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
Artikel in diesem Heft
- Article
- A New Test of the Martingale Difference Hypothesis
- Combining Forecasts with Nonparametric Kernel Regressions
- Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
- A Stochastic Version of Zeeman's Market Model
- Linearizations and Equilibrium Correction Models
- An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity
Artikel in diesem Heft
- Article
- A New Test of the Martingale Difference Hypothesis
- Combining Forecasts with Nonparametric Kernel Regressions
- Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
- A Stochastic Version of Zeeman's Market Model
- Linearizations and Equilibrium Correction Models
- An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity
