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The efficiency of financial futures markets: Tests of prediction accuracy

  • Laws, Jason
  • Thompson, John
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-48B5NHM-5/2/da7c8f490bb60ce7676125fc5d2cd373
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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 155 (2004)
    Issue (Month): 2 (June)
    Pages: 284-298

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    Handle: RePEc:eee:ejores:v:155:y:2004:i:2:p:284-298
    Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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    1. Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, vol. 66, pages 233.
    2. Holden, K & Peel, D A, 1990. "On Testing for Unbiasedness and Efficiency of Forecasts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(2), pages 120-27, June.
    3. Baci, Sidika & Zaman, Asad, 1998. "Effects of skewness and kurtosis on model selection criteria," Economics Letters, Elsevier, vol. 59(1), pages 17-22, April.
    4. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
    5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    6. Shiller, Robert J, 1981. "The Use of Volatility Measures in Assessing Market Efficiency," Journal of Finance, American Finance Association, vol. 36(2), pages 291-304, May.
    7. A. G. Malliaris (ed.), 1997. "Futures Markets," Books, Edward Elgar, volume 0, number 972, March.
    8. Michael T. Belongia, 1987. "Predicting interest rates: a comparison of professional and market- based forecasts," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 9-15.
    9. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    10. Hazuka, Thomas B, 1984. " Consumption Betas and Backwardation in Commodity Markets," Journal of Finance, American Finance Association, vol. 39(3), pages 647-55, July.
    11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    12. Christopher J. Neely, 2000. "Are changes in foreign exchange reserves well correlated with official intervention?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 17-32.
    13. Breeden, Douglas T, 1980. " Consumption Risk in Futures Markets," Journal of Finance, American Finance Association, vol. 35(2), pages 503-20, May.
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