A threshold error correction model for intraday futures and index returns

ACF (Ton) Vorst, MPE Martens, P Kofman

Research output: Contribution to journal › Article › Academic › peer-review

98 Citations (Scopus)

Original language	Undefined/Unknown
Pages (from-to)	245-263
Number of pages	19
Journal	Journal of Applied Econometrics
Volume	13
Publication status	Published - 1998

Research programs

@article{dab0f80028d3403986216621b69aff63,

title = "A threshold error correction model for intraday futures and index returns",

author = "Vorst, {ACF (Ton)} and MPE Martens and P Kofman",

year = "1998",

language = "Undefined/Unknown",

volume = "13",

pages = "245--263",

journal = "Journal of Applied Econometrics",

issn = "0883-7252",

publisher = "John Wiley & Sons Ltd.",

}