The long-run relationship between spot and futures prices of the S&P 500 index: Evidence from cointegration tests

Authors
Darrat, AF Rahman, S
Citation
Af. Darrat et S. Rahman, The long-run relationship between spot and futures prices of the S&P 500 index: Evidence from cointegration tests, ADV INV AN, 6, 1999, pp. 47-54
Categorie Soggetti
Current Book Contents
Journal title
ADVANCES IN INVESTMENT ANALYSIS AND PORTFOLIO MANAGEMENT, VOL 6 - 1999 → ACNP
Volume
6
Year of publication
1999
Pages
47 - 54
Database
ISI
SICI code