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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Bibliografske podrobnosti
Glavni avtor: Kaminsky, Graciela
Drugi avtorji: Kumar, Manmohan
Format: Revija
Jezik:English
Izdano: Washington, D.C. : International Monetary Fund, 1990.
Serija:IMF Working Papers; Working Paper ; No. 1990/116
Online dostop:Full text available on IMF