RDP 8804: Pricing Behaviour in Australian Financial Futures Markets
Equation
x
t
+b
o
y
t
=
Σ
i=1
k
a
i
x
t-i
+
Σ
i=1
m
b
i
y
t-i
+u
t
y
t
+c
o
x
t
=
Σ
i=1
k
c
i
x
t-i
+
Σ
i=1
m
d
i
y
t-i
+v
t
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