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...
| Autor principal: | Kaminsky, Graciela |
|---|---|
| Altres autors: | Kumar, Manmohan |
| Format: | Revista |
| Idioma: | English |
| Publicat: |
Washington, D.C. :
International Monetary Fund,
1990.
|
| Col·lecció: | IMF Working Papers; Working Paper ;
No. 1990/116 |
| Accés en línia: | Full text available on IMF |
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