readme.mkv.txt
Creators:
Martin Martens
;
Paul Kofman
;
Ton Vorst
From the dataset abstract
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...
Source: A threshold error-correction model for intraday futures and index returns (replication data)
Metadata
| Field | Value |
|---|---|
| Format | text/plain |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/8236c660-8cd0-4390-abfd-c3a94ac2ceb5/resource/e959ad90-8b0e-4b76-90c9-ca640f0ca192/download/readme.mkv.txt |
| Last updated | November 10, 2022 |
| Created | November 10, 2022 |
