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Spanning with futures contracts

  • Galvani, Valentina
  • Plourde, André

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.

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Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 53 (2013)
Issue (Month): 1 ()
Pages: 61-72

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Handle: RePEc:eee:quaeco:v:53:y:2013:i:1:p:61-72
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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