✦ LIBER ✦

Risk premia in the ruble/dollar futures market

✍ Scribed by Peresetsky, Anatoly; de Roon, Frans

Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 284 KB
Volume: 17
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199704)17:2<191::aid-fut3>3.0.co;2-e

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Risk premia in the futures and forward m

Risk premia in the futures and forward markets

✍ Rick Cooper 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 780 KB

## Introduction wo of the major paradigms of portfolio theory are the one-period Capital Asset T Pricing Model (CAPM) and the intertemporal Consumption Capital Asset Pricing Model (CCAPM). Each has encountered empirical problems. The CAPM fails to explain many well-documented anomalies (e.g., the

Risk premia and price volatility in futu

Risk premia and price volatility in futures markets

✍ Jisoo Yoo; G. S. Maddala 📂 Article 📅 1991 🏛 John Wiley and Sons 🌐 English ⚖ 705 KB

Another major economic function of the futures market is a price discovery role. Futures price for a commodity represents all the information about the future cash price. So, economic agents make plans and decisions by looking at the futures price. Jisoo Yo0 is an Assistant professor o f Economics

Commitment of traders, basis behavior, a

Commitment of traders, basis behavior, and the issue of risk premia in futures markets

✍ Chatrath, Arjun; Liang, Youguo; Song, Frank 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 289 KB 👁 2 views

Hartzmark (1987) suggests that these traders may be risk lovers, or may simply enjoy dealing in futures markets.

Time-varying jump risk premia in stock i

Time-varying jump risk premia in stock index futures returns

✍ Wing Hong Chan; Liling Feng 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 453 KB

## Abstract This study tests the presence of time‐varying risk premia associated with extreme news events or jumps in stock index futures return. The model allows for a dynamic jump component with autoregressive jump intensity, long‐range dependence in volatility dynamics, and a volatility in mean

The efficiency of the U.S. dollar index

The efficiency of the U.S. dollar index futures market

✍ Giora Harpaz; Steven Krull; Joseph Yagil 📂 Article 📅 1990 🏛 John Wiley and Sons 🌐 English ⚖ 635 KB

It should be emphasized that the hedge position is a long-long or short-short hedge rather than the conventional long-short hedge, because the USDX futures price is quoted in "European terms" whereas the component FX forward prices are expressed in 'American terms.

Time-varying market price of risk in the

Time-varying market price of risk in the crude oil futures market

✍ Ramaprasad Bhar; Damien Lee 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 216 KB 👁 2 views

## Abstract In this study, a three‐factor model of crude oil prices is estimated, which incorporates a time‐varying market price of risk. The model is able to accurately capture the term structure of futures prices with evidence suggesting that risk premiums in the crude oil market are time‐varying