Time Varying Risk Premia in Futures Markets PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Time Varying Risk Premia in Futures Markets PDF full book. Access full book title Time Varying Risk Premia in Futures Markets by Mr.Manmohan S. Kumar. Download full books in PDF and EPUB format.

Time Varying Risk Premia in Futures Markets

Time Varying Risk Premia in Futures Markets PDF Author: Mr.Manmohan S. Kumar
Publisher: International Monetary Fund
ISBN: 145194196X
Category : Business & Economics
Languages : en
Pages : 32

Book Description
This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
➤