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Physical delivery versus cash settlement: an empirical study on the feeder cattle contract

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  • Lien, Donald
  • Tse, Yiu Kuen

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  • Lien, Donald & Tse, Yiu Kuen, 2002. "Physical delivery versus cash settlement: an empirical study on the feeder cattle contract," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 361-371, November.
  • Handle: RePEc:eee:empfin:v:9:y:2002:i:4:p:361-371
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    References listed on IDEAS

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    1. Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
    2. Y.K. Tse & Albert K.C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometrics 0004007, EconWPA.
    3. Charles M. Oellermann & B. Wade Brorsen & Paul L. Farris, 1989. "Price discovery for feeder cattle," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(2), pages 113-121, April.
    4. Kenyon, David E. & Bainbridge, Bruce & Ernst, Robin, 1991. "Impact Of Cash Settlement On Feeder Cattle Basis," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 16(01), July.
    5. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    6. 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.
    7. 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 109-124, April-Jun.
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.

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