The authors thank Giuseppe Cavaliere, Søren Johansen and Katarzyna Łasak for useful comments and suggestions. They also thank the participants to CREATES weekly seminars for helpful comments. Financial support from PRIN 2006 is gratefully acknowledged.
A No-Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges
Version of Record online: 30 NOV 2011
© 2011 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 33, Issue 1, pages 77–102, January 2013
How to Cite
Rossi, E. and Santucci de Magistris, P. (2013), A No-Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges. J. Fut. Mark., 33: 77–102. doi: 10.1002/fut.20556
- Issue online: 23 OCT 2012
- Version of Record online: 30 NOV 2011
- Manuscript Accepted: 22 SEP 2011
- Manuscript Received: 23 FEB 2011
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