Physical Delivery Versus Cash Settlement: An Empirical Study on the Feeder Cattle Contract

• المؤلفون الرئيسيون: TSE, Yiu Kuen, Lien, Donald
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2002
• الموضوعات: Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/397

This paper investigates the effects of the switch from physical delivery to cash settlement on the behavior of the cash and futures prices of the feeder cattle contract traded on the Chicago Mercantile Exchange. A bivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is a...