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Futures and realized cash or settle prices for gold, silver, and copper

  • Varela, Oscar

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File URL: http://www.sciencedirect.com/science/article/B6W61-408X1WW-2/2/40f14a7fa1413490146d30f0184ecd4f
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Article provided by Elsevier in its journal Review of Financial Economics.

Volume (Year): 8 (1999)
Issue (Month): 2 ()
Pages: 121-138

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Handle: RePEc:eee:revfin:v:8:y:1999:i:2:p:121-138
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620170

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  1. Lee, Sang H & Varela, Oscar, 1997. " An Investigation of Event Study Methodologies with Clustered Events and Event Day Uncertainty," Review of Quantitative Finance and Accounting, Springer, vol. 8(3), pages 211-28, May.
  2. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  4. 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.
  5. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
  6. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
  7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  8. Naka, Atsuyuki & Whitney, Gerald, 1995. "The unbiased forward rate hypothesis re-examined," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 857-867, December.
  9. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
  10. Ghosh, Asim & Clayton, Ronnie, 1996. "Hedging with International Stock Index Futures: An Intertemporal Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 477-91, Winter.
  11. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  12. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March.
  13. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
  14. Jaffe, Jeffrey F, 1974. "Special Information and Insider Trading," The Journal of Business, University of Chicago Press, vol. 47(3), pages 410-28, July.
  15. K. C. Chen & R. Stephen Sears & Dah‚ÄźNein Tzang, 1987. "Oil prices and energy futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(5), pages 501-518, October.
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