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Test of the efficiency of commodity futures in a multi-contract framework

✍ Scribed by G. Canarella; S. K. Pollard

Publisher
Springer-Verlag
Year
1987
Tongue
English
Weight
532 KB
Volume
12
Category
Article
ISSN
0377-7332

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πŸ“œ SIMILAR VOLUMES

Examining the validity of a test of futu
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To provide evidence for his conclusion, Maberly used a simulation analysis to develop spot and futures prices which were used to estimate the parameters in ## Research for this article was partially completed while Emmett Elam was a faculty member in the Depart- The authors would like to thank Si

A Study of Arbitrage Efficiency Between
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## Abstract Despite the importance of the London markets and the significance of the relationship for market makers, little published research is available on arbitrage between the FTSE‐100 Index futures and the FTSE‐100 European index options contracts. This study uses the put–call–futures parity