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Spanning with futures contracts

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  • Galvani, Valentina
  • Plourde, André

Abstract

Regression-based testing techniques have long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments. This paper derives regression-based spanning tests for the case in which the investment possibilities set contains, or is constituted by, futures contracts for which marked-to-market margins are explicitly taken into account. Two empirical applications illustrate our results.

Suggested Citation

  • Galvani, Valentina & Plourde, André, 2013. "Spanning with futures contracts," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 61-72.
  • Handle: RePEc:eee:quaeco:v:53:y:2013:i:1:p:61-72
    DOI: 10.1016/j.qref.2012.10.001
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    References listed on IDEAS

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