Search Results - subject:"Risk Premium hypothesis"

Cointegration analysis of metals futures

Watkins, Clinton; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 59 (2002) 1, pp. 207-221

-ferrous metals. In this paper, the market for 3-month LME copper futures contracts is analysed. The risk premium hypothesis and the … rarely been estimated within a unified framework for metals futures. Single equation versions of the risk premium hypothesis …

Persistent link: https://www.econbiz.de/10010749315

Estimation of alternative pricing models for currency futures contracts

Sequeira, John M.; McAleer, Michael; Chow, Ying-Foon - In: Mathematics and Computers in Simulation (MATCOM) 48 (1999) 4, pp. 519-530

The Risk Premium and Cost-of-Carry models regarding the pricing of Australian dollar futures contracts traded on the International Monetary Market of the Chicago Mercantile Exchange are estimated and compared. Cointegrating relationships among the Australian dollar spot and futures prices, and...

Persistent link: https://www.econbiz.de/10010749774