关键词: 门限协整, 跨市场套利, 股指期货, 门限误差修正模型, Bootstrap

Abstract: There exists a long-run stability relation between similar commodities traded at different markets.When the price differential deviates from equilibrium,it will return to the no-arbitrage region.They obey cointegration relation when the price differential excceeds a critical threshold,whearas they are not cointegrated inside the threshold,which is defined as threshold cointegration.In this article,We put forward a method of sup-Wald test based on threshold vector ECM model on the work of Balke,Fomby and Hasen,and simulate the asymptotic ditribution of the statistic using the method of Bootstrap,giving the presence of threshold effect between uk100 and ger30 index future,we estimated the threshold parameter and cointegrating vector simultaneously,and promoted an arbitrage strategy under this cointegration relation.