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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Bibliographic Details
Main Authors: SEQUEIRA, J. M., McALEER, Michael., CHOW, Ying-Foon
Format: text
Language:English
Published: 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

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