Modeling regime transition in stock index futures markets and forecasting implications

Journal of Forecasting

Volumn 27, Issue 8, 2008, Pages 649-669

  Kanas, Angelos ^a,b  

^a UNIVERSITY OF CRETE   (Greece)

^b INSTITUTE OF COMPUTER SCIENCE   (Greece)

Author keywords

Regime switching; Stock index futures; Time varying transition; UK; USA

Indexed keywords

BINARY ALLOYS; COMMERCE; ERROR CORRECTION; FORECASTING;

CORRECTION APPROACHES; REGIME SWITCHING; REGIME TRANSITION; STOCK INDEX FUTURES; SWITCHING VECTOR; TIME VARYING; TIME-VARYING TRANSITION; UK; USA; VECTOR ERROR-CORRECTION;

FINANCIAL MARKETS;

EID: 57049145804     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1084     Document Type: Article

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