摘要:

Deliveries on futures contracts are widely thought to be relatively insignificant in amount; indeed sizeable deliveries are taken to indicate problems in a futures market. In fact, deliveries on five of the largest, physical delivery, futures markets in the US average approximately 10 per cent of the maximum open interest in each delivery month. Analysis also demonstrated the value of the timing and location options often provided by contract specifications. One implication is that measures of market performance like hedging effectiveness are sensitive to the imbedded options' effects on prices

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb02296.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

The paper emphasizes the practicability and accessibility of the necessary and sufficient condition for ordinary least squares to yield best linear unbiased estimators in several problems that are available in econometrics Two convenient equivalent alternative forms of the condition are presented It is shown that the condition is useful for analyzing different problems and is especially relevant for pedagogical purposes Several practical economic examples are presented

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb01750.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

Book reviewed in this article:Optimal Economic Growth and Non‐Stable Population, by E. V. Imhoff, Studies in Contemporary Economics (Springer‐Verlag, 1989), pp. ix+ 218.Game Theory in Economics, by A. RubinsteinCurrew Issues in hionemy Economics, edited by Taradas.Chinese State EnterpriKs A Regional Property Ri

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb01751.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

This paper applies a game‐theoretic model of oligopolistic pricing to the crude oil futures contracts traded on the Brent 15‐Day market and the London International Petroleum Exchange (IPE). Particular attention is given to the organizational features of the Brent 15‐Day market and to the successive changes in the IPE co

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb02297.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

Book reviewed in this article:Bogomolov, O. T. (ed.) Market Forces in Planned EconomiesGuerrieri, P. and Padoan, P. (eds). The Political Economy of European IntegrationHillier, B. The Macroeconomic Debate: Models of [he Closed and Open EconomyLavoie, D. (ed.) Economics and HermeneuticsLayard, R., Nickell, S. and Jackman, R. UnemploymentLipschitz, L. and McDonald, D. (eds). Geman Unification: Economic Issues. Occasional paper 75Smithin. J. N. Macroeconomics after Thatcher and Reagan.

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb01752.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb01753.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb01754.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb01755.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

Filter, channel and moving‐average trading rules are compared with rules which use ARIMA price forecasts, by evaluating their ex ante performance for currency futures transactions from December 1981 to November 1987. All of the trading rules are profitable. Market efficiency is discussed Monte Carlo results strongly suggest that the trading profits are too large to be explained by the elusive, time‐varying risk premium sought in forward market litera

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb02298.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified international portfolio of equities. Positive time‐varying risk premia are found in all five currencies tested when the difference between the US and the average foreign interest rates is used as an instrumental variable for the expected excess return from the common stock portfoli

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb02299.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY