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Volumn 16, Issue 7, 1996, Pages 735-755

Time-varying risk premia in the foreign currency futures basis

Author keywords

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Indexed keywords


EID: 0030493177     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1096-9934(199610)16:7<735::aid-fut1>3.3.co;2-z     Document Type: Article
Times cited : (15)

References (12)
  • 1
    • 84993894890 scopus 로고
    • Macroeconomic Influences and the Variability of the Commodity Futures Basis
    • Bailey, W., and Chan, K. C. (1993): "Macroeconomic Influences and the Variability of the Commodity Futures Basis," Journal of Finance, 48:555-573.
    • (1993) Journal of Finance , vol.48 , pp. 555-573
    • Bailey, W.1    Chan, K.C.2
  • 3
    • 38249008741 scopus 로고
    • Time-Varying Risk Premia and Forecastable Returns in Futures Markets
    • Bessembinder, H., and Chan, K. C. (1992): "Time-Varying Risk Premia and Forecastable Returns in Futures Markets," Journal of Financial Economics, 32:169-193.
    • (1992) Journal of Financial Economics , vol.32 , pp. 169-193
    • Bessembinder, H.1    Chan, K.C.2
  • 4
    • 0000118737 scopus 로고
    • Common Persistence in Conditional Variances
    • Bollerslev, T., and Engle, R. F. (1993): "Common Persistence in Conditional Variances," Econometrica, 61(1): 167-186.
    • (1993) Econometrica , vol.61 , Issue.1 , pp. 167-186
    • Bollerslev, T.1    Engle, R.F.2
  • 5
    • 0010714247 scopus 로고
    • The Minimum Covered Interest Differential Needed for International Arbitrage Activity
    • Branson, W. A. (1969): "The Minimum Covered Interest Differential Needed for International Arbitrage Activity," Journal of Political Economy;, 77:1028-1035.
    • (1969) Journal of Political Economy , vol.77 , pp. 1028-1035
    • Branson, W.A.1
  • 6
    • 84977738382 scopus 로고
    • Financial Investment Opportunities and the Macroeconomy
    • Chen, N. (1991): "Financial Investment Opportunities and the Macroeconomy," Journal of Finance, 46:529-554.
    • (1991) Journal of Finance , vol.46 , pp. 529-554
    • Chen, N.1
  • 7
    • 84977364782 scopus 로고
    • Forward and Futures Prices: Evidence from the Foreign Exchange Markets
    • Cornell, B., and Reinganum, M. (1981): "Forward and Futures Prices: Evidence from the Foreign Exchange Markets," Journal of Finance, 36:1035-1045.
    • (1981) Journal of Finance , vol.36 , pp. 1035-1045
    • Cornell, B.1    Reinganum, M.2
  • 8
    • 0009917040 scopus 로고
    • Interest Rate Parity Tests: Switzerland and Some Major Western Countries
    • Cosander, P. A., and Laing, B. R. (1981): "Interest Rate Parity Tests: Switzerland and Some Major Western Countries," Journal of Banking and Finance, 5:187-200.
    • (1981) Journal of Banking and Finance , vol.5 , pp. 187-200
    • Cosander, P.A.1    Laing, B.R.2
  • 9
    • 0000472488 scopus 로고
    • Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
    • Dickey, D., and Fuller, W. (1981): "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, 49:1057-1072.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.1    Fuller, W.2
  • 11
    • 0000051984 scopus 로고
    • Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
    • Engle, R. F. (1982): "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, "Econometrica, 50:987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 12
    • 34250890715 scopus 로고
    • Business Conditions and Expected Returns on Stocks and Bonds
    • Fama, E. F., and French, K. R. (1988a): "Business Conditions and Expected Returns on Stocks and Bonds," Journal of Financial Economics, 25:23-50.
    • (1988) Journal of Financial Economics , vol.25 , pp. 23-50
    • Fama, E.F.1    French, K.R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.