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...
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| Natura: | Periodico |
| Lingua: | English |
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Washington, D.C. :
International Monetary Fund,
1990.
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| Serie: | IMF Working Papers; Working Paper ;
No. 1990/116 |
| Accesso online: | Full text available on IMF |