Time Varying Risk Premia in Futures Markets /

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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awdur:	Kaminsky, Graciela
Awduron Eraill:	Kumar, Manmohan
Fformat:	Cylchgrawn
Iaith:	English
Cyhoeddwyd:	Washington, D.C. : International Monetary Fund, 1990.
Cyfres:	IMF Working Papers; Working Paper ; No. 1990/116
Mynediad Ar-lein:	Full text available on IMF

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