Time Varying Risk Premia in Futures Markets

Time Varying Risk Premia in Futures Markets
This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk... READ MORE...

Publication date: December 1990
ISBN 9781451941968
$15.00

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