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A continuous time equilibrium model of forward prices and futures prices in a multigood economy

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Richard, Scott F.
Sundaresan, M.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 9 (1981)
Issue (Month): 4 (December)
Pages: 347-371
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Handle: RePEc:eee:jfinec:v:9:y:1981:i:4:p:347-371

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  1. Kenneth B. Dunn & Kenneth J. Singleton, 1984. "Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods," NBER Working Papers 1415, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005. "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers 11864, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Anurag Gupta & Marti G. Subrahmanyam, 1999. "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-001, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:
  4. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York. [Downloadable!]
  5. Robert J. Hodrick & Sanjay Srivastava, 1985. "Foreign Currency Futures," NBER Working Papers 1743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. David Hirshleifer, 1983. "A Model of Hedging and Futures Price Bias," University of California at Los Angeles, Anderson Graduate School of Management 1207, Anderson Graduate School of Management, UCLA. [Downloadable!]
  7. Borja Larrain, 2005. "The stock market and cross country differences in relative prices," Working Papers 05-6, Federal Reserve Bank of Boston. [Downloadable!]
  8. Francis Longstaff & Ashley Wang, 2002. "Electricity Forward Prices: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management 1046, Anderson Graduate School of Management, UCLA. [Downloadable!]
  9. Rita Madarassy Akin, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series 1006, Center for International Economics, UC Santa Cruz. [Downloadable!]
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