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...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2000
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/5077 |
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| 機構: | Singapore Management University |
| 語言: | English |