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Volumn 14, Issue 13, 2004, Pages 953-962

Efficient estimation and testing of oil futures contracts in a mutual offset system

Author keywords

[No Author keywords available]

Indexed keywords

COMMODITY MARKET; COMMODITY PRICE; OIL; PRICE DETERMINATION;

EID: 4544319908     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/0960310042000284687     Document Type: Article
Times cited : (11)

References (15)
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    • Amin, K.I.1    Jarrow, R.A.2
  • 3
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    • Characterizing predictable components in excess returns on equity and foreign exchange markets
    • Bekaert, G. and Hodrick, R. J. (1992) Characterizing predictable components in excess returns on equity and foreign exchange markets, Journal of Finance, 47, 467-509.
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    • Bekaert, G.1    Hodrick, R.J.2
  • 5
    • 84974489320 scopus 로고
    • Arbitrage, cointegration and testing the Unbiasedness Hypothesis in financial markets
    • Brenner, R. J. and Kroner, K. F. (1995) Arbitrage, cointegration and testing the Unbiasedness Hypothesis in financial markets, Journal of Financial and Quantitative Analysis, 30, 23-42.
    • (1995) Journal of Financial and Quantitative Analysis , vol.30 , pp. 23-42
    • Brenner, R.J.1    Kroner, K.F.2
  • 6
    • 0001397560 scopus 로고
    • Pitfalls and opportunities: What macroeconomists should know about unit roots
    • (Eds) O. J. Blanchard, and S. Fischer, Cambridge, MIT Press, Cambridge, MA
    • Campbell, J. Y. and Perron, P. (1991) Pitfalls and opportunities: what macroeconomists should know about unit roots, in NBER Macroeconomics Annual (Eds) O. J. Blanchard, and S. Fischer, Cambridge, MIT Press, Cambridge, MA, 6, pp. 141-201.
    • (1991) NBER Macroeconomics Annual , vol.6 , pp. 141-201
    • Campbell, J.Y.1    Perron, P.2
  • 7
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    • A subordinated stochastic process model with finite variance for speculative price
    • Clark, P. K. (1973) A subordinated stochastic process model with finite variance for speculative price, Econometrica, 41, 135-59.
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  • 8
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation and testing
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    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 10
    • 48549113655 scopus 로고
    • Forward and spot exchange rates
    • Fama, E. (1984) Forward and spot exchange rates, Journal of Monetary Economics, 14, 319-38.
    • (1984) Journal of Monetary Economics , vol.14 , pp. 319-338
    • Fama, E.1
  • 11
    • 85012582553 scopus 로고
    • Money, bonds and foreign exchange
    • Fama E. and Farber, A. (1979) Money, bonds and foreign exchange, American Economic Review, 69, 269-82.
    • (1979) American Economic Review , vol.69 , pp. 269-282
    • Fama, E.1    Farber, A.2
  • 12
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    • The term structure of the forward premium
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  • 13
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  • 14
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.