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My bibliography Save this articlePricing Term Structure Risk in Futures Markets
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- Nijman, T.E. & de Roon, F.A. & Veld, C.H., 1996. "Pricing Term Structure Risk in Futures Markets," Discussion Paper 1996-78, Tilburg University, Center for Economic Research.
- Nijman, T.E. & de Roon, F.A. & Veld, C.H., 1996. "Pricing Term Structure Risk in Futures Markets," Other publications TiSEM d25a4674-f58e-49cd-b80a-f, Tilburg University, School of Economics and Management.
References listed on IDEAS
- Eugene F. Fama & Kenneth R. French, 2015.
"Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage,"
World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 4, pages 79-102,
World Scientific Publishing Co. Pte. Ltd..
- Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Fama, Eugene F., 1986. "Term premiums and default premiums in money markets," Journal of Financial Economics, Elsevier, vol. 17(1), pages 175-196, September.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
- Hakkio, Craig S. & Leiderman, Leonardo, 1986. "Intertemporal asset pricing and the term structures of exchange rates and interest rates: The eurocurrency market," European Economic Review, Elsevier, vol. 30(2), pages 325-344, April.
- Bessembinder, Hendrik, et al, 1995. "Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-375, March.
- McCurdy, Thomas H. & Morgan, Ieuan G., 1987.
"Tests of the martingale hypothesis for foreign currency futures with time-varying volatility,"
International Journal of Forecasting, Elsevier, vol. 3(1), pages 131-148.
- Thomas H. McCurdy & Ieuan G. Morgan, 1986. "Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility," Working Paper 663, Economics Department, Queen's University.
- repec:bla:jfinan:v:43:y:1988:i:5:p:1075-93 is not listed on IDEAS
- Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
- Bessembinder, Hendrik, 1992. "Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets," The Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 637-667.
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Cited by:
- Patricia Fraser & Andrew McKaig, 2001. "Basis variation and a common source of risk: evidence from UK futures markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 39-62.
- Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
- Shi, Wei & Irwin, Scott H. & Good, Darrel L. & Dietz, Sarah N., 2005. "Wheat Forward Contract Pricing: Evidence on Forecast Power and Risk Premia," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19043, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Thomas Bollinger & Axel Kind, 2015. "Risk Premiums in the Cross-Section of Commodity Convenience Yields," Working Paper Series of the Department of Economics, University of Konstanz 2015-17, Department of Economics, University of Konstanz.
- Brooks, Robert & El-Keib, A. A., 1998. "A life-cycle view of electricity futures contracts," Journal of Energy Finance & Development, Elsevier, vol. 3(2), pages 171-183.
- van den Goorbergh, R.W.J., 2004. "Essays on optimal hedging and investment strategies and on derivative pricing," Other publications TiSEM 4b4b16af-8621-463f-bbfa-0, Tilburg University, School of Economics and Management.
- Kumar, Satish & Trück, Stefan, 2014. "Unbiasedness and risk premiums in the Indian currency futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 13-32.
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