Cointegration analysis of metals futures

Mathematics and Computers in Simulation

Volumn 59, Issue 1-3, 2002, Pages 207-221

  Watkins, Clinton ^a   McAleer, Michael ^a  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Cost of carry model; Futures contracts; Risk premium hypothesis

Indexed keywords

CONTRACTS; COPPER; MARKETING; MATHEMATICAL MODELS; RANDOM PROCESSES; RISK ASSESSMENT;

COINTEGRATION ANALYSIS;

NONFERROUS METALS;

EID: 0037052714     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4754(01)00409-8     Document Type: Conference Paper

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