Physical Delivery Versus Cash Settlement: An Empirical Study on the Feeder Cattle Contract
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...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2002
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/397 |
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| 機構: | Singapore Management University |
| 語言: | English |