Nonlinear Dynamics of the Nikkei Stock Average Futures
This paper analyzes the conditional distribution of the Nikkei Stock Average Futures prices traded in the Singapore International Monetary Exchange (SIMEX). It is found that the conditional mean of the logarithmic price ratios is zero and the conditional variance is adequately described by the expon...
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1995
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/533 |
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| Institution: | Singapore Management University |
| Language: | English |