Time Varying Risk Premia in Futures Markets /
This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodit...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Journal |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
1990.
|
| Series: | IMF Working Papers; Working Paper ;
No. 1990/116 |
| Online Access: | Full text available on IMF |