Physical delivery versus cash settlement: an empirical study on the feeder cattle contract
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 9 (2002)
Issue (Month): 4 (November)
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Web page: http://www.elsevier.com/locate/jempfin
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-24, April-Jun.
- Elam, Emmett W., 1988. "Estimated Hedging Risk With Cash Settlement Feeder Cattle Futures," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(01), July.
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- Tse, Y. K., 2000.
"A test for constant correlations in a multivariate GARCH model,"
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- Tom Doan, . "RATS programs to replicate Tse's constant correlation GARCH test results," Statistical Software Components RTZ00161, Boston College Department of Economics.
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- Lien, Donald & Tse, Yiu Kuen, 2006. "A survey on physical delivery versus cash settlement in futures contracts," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 15-29.
- Chan, Leo & Lien, Donald, 2003. "Using high, low, open, and closing prices to estimate the effects of cash settlement on futures prices," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 35-47.
- Lien, Donald & Yang, Li, 2004. "Alternative settlement methods and Australian individual share futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 473-490, December.
- Lien, Donald & Yang, Li, 2003. "Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 495-512.
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