Many researchers have found that spot and futures prices are not cointegrated in some commodity markets, or they are cointegrated but not with a cointegrating vector (1, โซ.)1ืโฌ One interpretation is that disturbances to excess returns have a unit root persistence, which implies that spot and futures
Arbitrage, Risk Premium, and Cointegration Tests of the Efficiency of Futures Markets
โ Scribed by Ying-Foon Chow
- Book ID
- 108567918
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 129 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0306-686X
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