Currency futures-spot basis and risk premium
β Scribed by Ahmet Can Inci; Biao Lu
- Book ID
- 116575229
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 204 KB
- Volume
- 17
- Category
- Article
- ISSN
- 1042-4431
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This article investigates the effects of the spotβfutures spread on the return and risk structure in currency markets. With the use of a bivariate dynamic conditional correlation GARCH framework, evidence is found of asymmetric effects of positive and negative spreads on the return and
## Premium and Unstable Systematic Risk\* Jacky C. So his article documents significant nonstationarity of systematic risk for the T wheat, corn and soybean futures contracts traded on the Chicago Board of Trade during the 1953-1976 period. The risk premium, however, remains insignificant statisti