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/10.1111/1467-6419.00110 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/16WOS source URL
其它资讯
摘要There has long been substantial interest in understanding the relative pricing of forward and futures contracts. This has led to the development of two standard theories of forward and futures pricing, namely, the Cost-of-Carry and the Risk Premium (or Unbiased Expectations) hypotheses. These studies have modelled the relationship between spot and forward/futures prices either through a no-arbitrage condition or a general equilibrium setting. Relatively few studies in this area have considered the impact of stochastic trends in the data. with the emergence of non-stationarity and cointegration in recent years, more sophisticated models of futures/forward prices have been specified. This paper surveys the significant contributions made to the literature on the pricing of forward/futures contracts, and examines recent empirical studies pertaining to the estimation and testing of univariate and systems models of futures pricing.
着者Chow YF, McAleer M, Sequeira JM
期刊名称Journal of Economic Surveys
出版年份2000
月份4
日期1
卷号14
期次2
出版社BLACKWELL PUBL LTD
页次215 - 253
国际标準期刊号0950-0804
语言英式英语
关键词Cost-of-Carry hypothesis; estimation and testing; forward and futures contracts; non-stationarity and cointegration; Risk Premium (or unbiased expectations) hypothesis; systems of equations; univariate model
Web of Science 学科类别Business & Economics; Economics; ECONOMICS
