Cuddington, John T.; Va'squez Cordano, Arturo L. - Division of Economics and Business, Colorado School of Mines - 2013
This paper develops GARCH and VEC-MGARCH-based tests of four hypotheses from Fama and French (1988) involving linkages between spot and futures prices --- both their levels and variances. The tests are applied to monthly data for seven metals traded on the London Metal Exchange over the period...
