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|z 9781451941968
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|a 1018-5941
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|a Kaminsky, Graciela.
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|a Time Varying Risk Premia in Futures Markets /
|c Graciela Kaminsky, Manmohan Kumar.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 1990.
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|a 1 online resource (32 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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 commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
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|a Mode of access: Internet
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|a Kumar, Manmohan.
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|a IMF Working Papers; Working Paper ;
|v No. 1990/116
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/1990/116/001.1990.issue-116-en.xml
|z IMF e-Library
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