Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices
Year of publication: |
2019
|
---|---|
Authors: | Kuruppuarachchi, Duminda ; Lin, Hai ; Premachandra, I. M. |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 77.2019, p. 92-112
|
Subject: | Commodity futures | Futures risk premium | Kalman filter | Market efficiency | State-space model | Risikoprämie | Risk premium | Rohstoffderivat | Commodity derivative | Effizienzmarkthypothese | Efficient market hypothesis | Warenbörse | Commodity exchange | Zustandsraummodell | State space model | Theorie | Theory | CAPM | Schätzung | Estimation |
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