This paper shows analytically that the basis between spot and futures contracts contains information about future returns of securities across the asset classes of commodities, equity indices, fixed income and foreign exchange. The bases in commodities are positively correlated with a leading...

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...