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Time-varying risk premia in the foreign currency futures basis
被引:0
作者
:
Baum, CF
论文数:
0
引用数:
0
h-index:
0
Baum, CF
Barkoulas, J
论文数:
0
引用数:
0
h-index:
0
Barkoulas, J
机构
:
来源
:
JOURNAL OF FUTURES MARKETS
|
1996年
/ 16卷
/ 07期
关键词
:
D O I
:
暂无
中图分类号
:
F8 [财政、金融];
学科分类号
:
0202 ;
摘要
:
引用
收藏
页码:735 / 755
页数:21
相关论文
共 32 条
[1]
MACROECONOMIC INFLUENCES AND THE VARIABILITY OF THE COMMODITY FUTURES BASIS
BAILEY, W
论文数:
0
引用数:
0
h-index:
0
机构:
OHIO STATE UNIV,DEPT FINANCE,COLUMBUS,OH 43210
OHIO STATE UNIV,DEPT FINANCE,COLUMBUS,OH 43210
BAILEY, W
CHAN, KC
论文数:
0
引用数:
0
h-index:
0
机构:
OHIO STATE UNIV,DEPT FINANCE,COLUMBUS,OH 43210
OHIO STATE UNIV,DEPT FINANCE,COLUMBUS,OH 43210
CHAN, KC
[J].
JOURNAL OF FINANCE,
1993,
48
(02)
: 555
-
573
[2]
BERNDT EK, 1974, ANN ECON SOC MEAS, V3, P653
[3]
TIME-VARYING RISK PREMIA AND FORECASTABLE RETURNS IN FUTURES MARKETS
论文数:
引用数:
h-index:
机构:
BESSEMBINDER, H
CHAN, K
论文数:
0
引用数:
0
h-index:
0
机构:
Arizona State University, Tempe
CHAN, K
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1992,
32
(02)
: 169
-
193
[4]
COMMON PERSISTENCE IN CONDITIONAL VARIANCES
BOLLERSLEV, T
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF SAN DIEGO,DEPT ECON,LA JOLLA,CA 92093
UNIV CALIF SAN DIEGO,DEPT ECON,LA JOLLA,CA 92093
BOLLERSLEV, T
ENGLE, RF
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF SAN DIEGO,DEPT ECON,LA JOLLA,CA 92093
UNIV CALIF SAN DIEGO,DEPT ECON,LA JOLLA,CA 92093
ENGLE, RF
[J].
ECONOMETRICA,
1993,
61
(01)
: 167
-
186
[5]
MINIMUM COVERED INTEREST DIFFERENTIAL NEEDED FOR INTERNATIONAL ARBITRAGE ACTIVITY
BRANSON, WH
论文数:
0
引用数:
0
h-index:
0
机构:
PRINCETON UNIV,PRINCETON,NJ
PRINCETON UNIV,PRINCETON,NJ
BRANSON, WH
[J].
JOURNAL OF POLITICAL ECONOMY,
1969,
77
(06)
: 1028
-
1035
[6]
FINANCIAL INVESTMENT OPPORTUNITIES AND THE MACROECONOMY
CHEN, NF
论文数:
0
引用数:
0
h-index:
0
机构:
HONG KONG UNIV SCI & TECHNOL, HONG KONG, HONG KONG
HONG KONG UNIV SCI & TECHNOL, HONG KONG, HONG KONG
CHEN, NF
[J].
JOURNAL OF FINANCE,
1991,
46
(02)
: 529
-
554
[7]
FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS
CORNELL, B
论文数:
0
引用数:
0
h-index:
0
CORNELL, B
REINGANUM, MR
论文数:
0
引用数:
0
h-index:
0
REINGANUM, MR
[J].
JOURNAL OF FINANCE,
1981,
36
(05)
: 1035
-
1045
[8]
INTEREST-RATE PARITY TESTS - SWITZERLAND AND SOME MAJOR WESTERN COUNTRIES
COSANDIER, PA
论文数:
0
引用数:
0
h-index:
0
COSANDIER, PA
LANG, BR
论文数:
0
引用数:
0
h-index:
0
LANG, BR
[J].
JOURNAL OF BANKING & FINANCE,
1981,
5
(02)
: 187
-
200
[9]
LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT-ROOT
DICKEY, DA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
DICKEY, DA
FULLER, WA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
FULLER, WA
[J].
ECONOMETRICA,
1981,
49
(04)
: 1057
-
1072
[10]
DIEBOLD FX, 1986, P AM STAT ASSOC, P323
←
1
2
3
4
→
共 32 条
[1]
MACROECONOMIC INFLUENCES AND THE VARIABILITY OF THE COMMODITY FUTURES BASIS
BAILEY, W
论文数:
0
引用数:
0
h-index:
0
机构:
OHIO STATE UNIV,DEPT FINANCE,COLUMBUS,OH 43210
OHIO STATE UNIV,DEPT FINANCE,COLUMBUS,OH 43210
BAILEY, W
CHAN, KC
论文数:
0
引用数:
0
h-index:
0
机构:
OHIO STATE UNIV,DEPT FINANCE,COLUMBUS,OH 43210
OHIO STATE UNIV,DEPT FINANCE,COLUMBUS,OH 43210
CHAN, KC
[J].
JOURNAL OF FINANCE,
1993,
48
(02)
: 555
-
573
[2]
BERNDT EK, 1974, ANN ECON SOC MEAS, V3, P653
[3]
TIME-VARYING RISK PREMIA AND FORECASTABLE RETURNS IN FUTURES MARKETS
论文数:
引用数:
h-index:
机构:
BESSEMBINDER, H
CHAN, K
论文数:
0
引用数:
0
h-index:
0
机构:
Arizona State University, Tempe
CHAN, K
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1992,
32
(02)
: 169
-
193
[4]
COMMON PERSISTENCE IN CONDITIONAL VARIANCES
BOLLERSLEV, T
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF SAN DIEGO,DEPT ECON,LA JOLLA,CA 92093
UNIV CALIF SAN DIEGO,DEPT ECON,LA JOLLA,CA 92093
BOLLERSLEV, T
ENGLE, RF
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF SAN DIEGO,DEPT ECON,LA JOLLA,CA 92093
UNIV CALIF SAN DIEGO,DEPT ECON,LA JOLLA,CA 92093
ENGLE, RF
[J].
ECONOMETRICA,
1993,
61
(01)
: 167
-
186
[5]
MINIMUM COVERED INTEREST DIFFERENTIAL NEEDED FOR INTERNATIONAL ARBITRAGE ACTIVITY
BRANSON, WH
论文数:
0
引用数:
0
h-index:
0
机构:
PRINCETON UNIV,PRINCETON,NJ
PRINCETON UNIV,PRINCETON,NJ
BRANSON, WH
[J].
JOURNAL OF POLITICAL ECONOMY,
1969,
77
(06)
: 1028
-
1035
[6]
FINANCIAL INVESTMENT OPPORTUNITIES AND THE MACROECONOMY
CHEN, NF
论文数:
0
引用数:
0
h-index:
0
机构:
HONG KONG UNIV SCI & TECHNOL, HONG KONG, HONG KONG
HONG KONG UNIV SCI & TECHNOL, HONG KONG, HONG KONG
CHEN, NF
[J].
JOURNAL OF FINANCE,
1991,
46
(02)
: 529
-
554
[7]
FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS
CORNELL, B
论文数:
0
引用数:
0
h-index:
0
CORNELL, B
REINGANUM, MR
论文数:
0
引用数:
0
h-index:
0
REINGANUM, MR
[J].
JOURNAL OF FINANCE,
1981,
36
(05)
: 1035
-
1045
[8]
INTEREST-RATE PARITY TESTS - SWITZERLAND AND SOME MAJOR WESTERN COUNTRIES
COSANDIER, PA
论文数:
0
引用数:
0
h-index:
0
COSANDIER, PA
LANG, BR
论文数:
0
引用数:
0
h-index:
0
LANG, BR
[J].
JOURNAL OF BANKING & FINANCE,
1981,
5
(02)
: 187
-
200
[9]
LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT-ROOT
DICKEY, DA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
DICKEY, DA
FULLER, WA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
FULLER, WA
[J].
ECONOMETRICA,
1981,
49
(04)
: 1057
-
1072
[10]
DIEBOLD FX, 1986, P AM STAT ASSOC, P323
←
1
2
3
4
→