A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices
提出一个部分线性误差修正模型，允许调整系数非线性依赖于滞后价差，并用德国DAX指数和期货数据验证了调整的非线性特征。
This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend nonlinearly on the lagged price difference. The model is estimated using data on the DAX index and the DAX futures contract. We find that the adjustment is indeed nonlinear. The linear alternative is rejected. The speed of price adjustment is increasing almost monotonically with the magnitude of the price difference. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:371–384, 2015