The theoretical source of autocorrelation in forward and futures price relationships
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Reference37 articles.
1. Cash-Futures Arbitrage and Forward-Futures Spreads in the Treasury Bill Market;Allen;The Journal of Futures Markets,1988
2. The Pricing of Commodity Contracts;Black;Journal of Financial Economics,1976
3. Testing the Unbiased Expectations Theory of Interest;Branch;The Financial Review,1978
4. Treasury Bill Pricing in the Spot and Futures Markets;Cappoza;The Review of Economics and Statistics,1979
5. Forward and Futures Prices: Evidence from the Foreign Exchange Market;Chang;The Journal of Finance,1990
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations;International Review of Financial Analysis;2014-07
2. Mispricing in stock index futures contracts: evidence for the FTSE 100 and FTSE mid 250 contracts;Applied Economics Letters;2000-12
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