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...
Glavni avtor: | |
---|---|
Drugi avtorji: | |
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 |