Pagano, Patrizio; Pisani, Massimiliano - 2009
premium, which, in part, could have been explained by means of a real-time US business cycle indicator, such as the degree of … considered business cycle indicator. An out-of-the-sample prediction exercise reveals that futures adjusted to take into account … analysis 16
3.1 One-month holding period returns 16
3.2 Price spread specication 17
3.3 Other business cycle indicators 18
3 …