Testing the risk premium and cost-of-carry hypotheses for currency futures contracts
The Risk Premium and Cost-of-Carry hypotheses regarding the pricing of futures contracts are tested using nested and non-nested procedures. Cointegrating relationships among the Australian dollar spot and futures prices, and US and Australian risk-free rates of interest, suggest an error-correction...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2000
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5077 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |