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Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets
Author(s) -
Paya Ivan,
Peel David A.
Publication year - 2011
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20464
Subject(s) - futures contract , autoregressive model , econometrics , carry (investment) , sampling (signal processing) , economics , nonlinear system , index (typography) , systematic sampling , mathematics , statistics , financial economics , computer science , macroeconomics , physics , filter (signal processing) , quantum mechanics , world wide web , computer vision
Abstract Based on the cost‐of‐carry model of future prices, a number of studies have estimated nonlinear autoregressive models for the basis at different frequencies (see, e.g., Dwyer GP, Locke, P, & Yu, W, 1996; Monoyios M and Sarno L, 2002; Taylor N, van Dijk D, Franses PH, & Lucas A, 2000). The structure of the models and the speed of adjustment to shocks reported are radically different. In this paper we examine the implications of systematic sampling. The results obtained show that regular sampling of the process seems important in attempting to explain the apparently contradictory results reported on the speed of adjustment to shocks in the cost‐of‐carry model. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:192–203, 2011