Forecasting the Standard & Poor's 500 stock index futures price : interest rates, dividend yields, and cointegration /
any of the other models considered, has the lowest forecast
| Main Author: | |
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| Format: | Thesis eBook |
| Language: | English |
| Published: |
[Place of publication not identified] :
[publisher not identified] ;
1997.
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| Subjects: | |
| Online Access: | Link to OAKTrust copy |
| Summary: | any of the other models considered, has the lowest forecast Daily Standard & Poor's 500 stock index cash and futures error rate. This has the implications of affecting the way forecasts from error correction models are compared to those from vector autoregressions (VAR) fit to levels and VARs fit interest rate and dividend yield data. Out-of-sample Johansen's maximum likelihood procedure. To account for the of data on interest rates and dividend yields, rather than prices are studies in a cointegration framework using that forecasting and hedging models are constructed. theoretical forward price series is constructed using these price series as a VAR in levels and with the inclusion time varying relationship(basis) between the two markets, a to first differences. This comparison suggests that modeling |
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| Item Description: | "Major subject: Agricultural Economics". In title, numerals are used. Vita. |
| Physical Description: | x, 57 leaves : illustrations ; 28 cm. Also available online. Issued also on microfiche from Lange Micrographics. |
| Bibliography: | Includes bibliographical references. |