Memory and equilibrium futures prices
โ Scribed by David H. Goldenberg
- Publisher
- John Wiley and Sons
- Year
- 1989
- Tongue
- English
- Weight
- 891 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Barley, flaxseed, rapeseed, and rye arc Canadian (Winnipeg) commodities. Winnipeg conducts the only barley and rye futures markets in the world, and the only flaxseed futures market in North America. 'Whcn the overall volatility variable, 0: 6.monrh, is omitted from the regression equation, the adju
ptions on financial futures are relatively new financial instruments, although 0 options on commodities have been in existence since the Nineteenth Century. 'See Johnson (1982a) for a chronology of the historical developments in commodity option trading. Trading in options on nonfarm futures contrac
## Abstract The comovements of spot and futures prices are characterized by six binary variables, including the term structure curvature of futures prices. These variables are used to uniquely identify 48 possible comovement patterns. Among them, 24 cases are associated with __mean reversion,__ whi