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Keywords: Threshold vector auto regression
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2024) 50 (12): 2091–2114.
Published: 28 August 2024
...) We highlight how factors like volatility, futures volume, and open interest vary in their impact. (3) The study employs vector auto-regressive and threshold vector auto-regressive models to explore the complex relationships influencing mispricing. (4) We provide valuable insights...
Includes: Supplementary data
