Pricing of forward and futures contracts

Journal of Economic Surveys

Volumn 14, Issue 2, 2000, Pages 215-253

  Chow, Ying Foon ^a   McAleer, Michael ^b   Sequeira, John ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Cost of Carry hypothesis; Estimation and testing; Forward and futures contracts; Non stationarity and cointegration; Risk Premium (or unbiased expectations) hypothesis; Systems of equations; Univariate model

Indexed keywords

CAPITAL MARKET; PRICE DYNAMICS; THEORETICAL STUDY;

EID: 0034011711     PISSN: 09500804     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-6419.00110     Document Type: Article

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