Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices
Duminda Kuruppuarachchi, Hai Lin, I. M. Premachandra
| Year of publication: |
2019
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|---|---|
| Authors: | Kuruppuarachchi, Duminda ; Lin, Hai ; Premachandra, I. M. |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 77.2019, p. 92-112
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| Subject: | Commodity futures | Futures risk premium | Kalman filter | Market efficiency | State-space model | Risikoprämie | Risk premium | Rohstoffderivat | Commodity derivative | Effizienzmarkthypothese | Efficient market hypothesis | Zustandsraummodell | State space model | Warenbörse | Commodity exchange | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.12.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012198434