Index arbitrage with heterogeneous investors: A smooth transition error correction analysis

Journal of Banking and Finance

Volumn 25, Issue 10, 2001, Pages 1829-1855

  Tse, Yiuman ^a  

^a BINGHAMTON UNIVERSITY   (United States)

Author keywords

G14; G20; G29; Heterogeneous investors; Index arbitrage; STAR model

Indexed keywords

EID: 0005852007     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00162-X     Document Type: Article

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