A threshold error‐correction model for intraday futures and index returns
用门限自回归模型估计套利无利可图的期货价格区间，并结合误差修正模型发现错误定价的影响随其幅度增大，且负错误定价时滞后期货收益对指数收益的信息效应显著更大。
Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated interest rate and dividend risks. We estimate the band around the theoretical futures price within which arbitrage is not profitable for most arbitragers, using a threshold autoregression model. Combining these thresholds with an error-correction model, we show that the impact of the mispricing error is increasing with the magnitude of that error and that the information effect of lagged futures returns on index returns is significantly larger when the mispricing error is negative. © 1998 John Wiley & Sons, Ltd.