Wavelet Analysis of the Cost-of-Carry Model

Shinn-Juh Lin · Maxwell J. Stevenson

32 citations0/0 files storedStudies in Nonlinear Dynamics and Econometrics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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1980Macroeconomics and Reality 1990The Dynamics of Stock Index and Stock Index Futures Returns 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income 1999The contribution of wavelets to the analysis of economic and financial data 1993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach 1983The pricing of stock index futures 1989The October 1987 S&P 500 Stock-Futures Basis

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