Mean Reversion in Stock Index Futures Markets: a Nonlinear Analysis

written while he was a Visiting Scholar at the Federal Reserve Bank of St. Louis. The authors are grateful to Abhay Abhyankar, Bernard Dumas, Mark Taylor, and Dick van Dijk for useful conversations or comments on previous drafts. The usual disclaimer applies, meaning that the authors alone are responsible for any errors that may remain and for the views expressed in the paper. *Correspondence author, Finance Group, Warwick Business School, University of Warwick, Coventry CV4 7AL, United Kingdom; e-mail: [email protected]