Spanning with futures contracts

Regression-based testing techniques have long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments. This paper derives regression-based spanning tests for the case in which the investment possibilities set contains, or is constituted by, futures contracts for which marked-to-market margins are explicitly taken into account. Two empirical applications illustrate our results.

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Year of publication:	2013
Authors:	Galvani, Valentina ; Plourde, André
Published in:	The Quarterly Review of Economics and Finance. - Elsevier, ISSN 1062-9769. - Vol. 53.2013, 1, p. 61-72
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010635970