The rolling spot futures contract: an error correction model analysis

Journal of Futures Markets

Volumn 17, Issue 1, 1997, Pages 117-128

  Ghosh, Asim ^a   Gilmore, Claire G ^a  

^a SAINT JOSEPH S UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031541887     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199702)17:1<117::AID-FUT6>3.0.CO;2-O     Document Type: Article

References (10)

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3. Dickey, D., and Fuller, W. (1981): "The Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica 49:1057-1072.
4. Engle, R., and Granger, C. (1987): "Cointegration and Error Correction Representation, Estimation, and Testing," Econometrica, 55:251-276.
5. Fritz, W. (1989): "Interest Rate Linkages between EC Countries Participating in the European Monetary System: An Application of Cointegration," in Econometric Decision Models: New Methods of Modeling and Applications, Gruber, J. (ed.), New York: Springer.
6. Granger, C. (1981): "Some Properties of Time Series Data in Econometric Model Specification," Journal of Econometrics, 16:121-130.
7. Granger, C., and Newbold, P. (1974): "Spurious Regressions in Econometrics," Journal of Econometrics, 111-120.
8. MacKinnon, J. (1991): "Critical Values for Cointegration Tests," in Long-run Economic Relationships: Readings in Cointegration, Engle, R., and Granger, C. (eds.), New York: Oxford.
9. Phillips, P., and Perron, P. (1988): "Testing for a Unit Root in Time Series Regression," Biometrika, 75:335-346.
10. Riehl, H., and Rodriguez, R. (1983): Foreign Exchange and Money Markets: Managing Foreign and Domestic Currency Operations. New York: McGraw-Hill.