Is normal backwardation normal? Valuing financial futures with a local index-rate covariance
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Publication:2076945
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- scientific article; zbMATH DE number 7246951
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Cites work
- A parsimonious parametric model for generating margin requirements for futures
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Commodity derivatives pricing with cointegration and stochastic covariances
- scientific article; zbMATH DE number 3426656 (Why is no real title available?)
- Information Markets and the Comovement of Asset Prices
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Martingales and stochastic integrals in the theory of continuous trading
- Pricing interest-rate-derivative securities
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The efficiency of financial futures markets: tests of prediction accuracy.
- The pricing of options and corporate liabilities
- The Wishart autoregressive process of multivariate stochastic volatility
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