Efficient estimation of alternative pricing models for currency futures contracts
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. Cointegrating relationships among the Australian dollar spot and futures prices, and US an...
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Main Authors: | , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
1999
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5058 |
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Institution: | Singapore Management University |
Language: | English |