Studies in Nonlinear Dynamics and Econometrics

  title={Studies in Nonlinear Dynamics and Econometrics},
  • Published 2001
In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the two fundamentally related time series: spot and futures indices. Such an analysis allows researchers to focus on examining the relationship between the two price series. Furthermore, it also enables examination and comparison of reconstructed prices based on different levels of information detail. It is found that the lead-lag relationship… CONTINUE READING

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