Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 周应峰教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/S0378-4754(99)00034-8 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要The Risk Premium and Cost-of-Carry models regarding the pricing of Australian dollar futures contracts traded on the International Monetary Market of the Chicago Mercantile Exchange are estimated and compared. Cointegating relationships among the Australian dollar spot and futures prices, and US and Australian risk-free rates of interest, suggest an error-correction representation for the Risk Premium model, and two alternative error-correction formulations for the Cost-of-Carry model. Two significant structural breaks in the futures price series permit estimation of appropriate models for the full sample in the presence of these breaks, for the full sample without explicitly modelling the breaks, and for various sub-samples created by these structural breaks. The Risk Premium and Cost-of-Carry formulations are estimated for all sample sets, the models obtained are found to be statistically adequate, and the qualitative results are reasonably robust across different sample sets for both models. (C) 1999 IMACS/Elsevier Science B.V. All rights reserved.
着者Sequeira JM, McAleer M, Chow YF
期刊名称Mathematics and Computers in Simulation
出版年份1999
月份6
日期1
卷号48
期次4-6
出版社ELSEVIER SCIENCE BV
页次519 - 53http://aims.cuhk.edu.hk/converis/portal/Publication/0
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0378-4754
电子国际标準期刊号1872-7166
语言英式英语
关键词cointegration; cost-of-carry hypothesis; error-correction models; risk premium hypothesis; spot prices
Web of Science 学科类别Computer Science; Computer Science, Interdisciplinary Applications; COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS; Computer Science, Software Engineering; COMPUTER SCIENCE, SOFTWARE ENGINEERING; Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED
