Results 11 to 20 of about 12,016 (264)
Gold futures prices: An investigation into the theories of storage and forecast power and premium
South African Journal of Business Management, 1990 There are two principal theories of commodity futures prices. The theory of storage, which explains the difference between contemporaneous futures and spot prices (the basis) in terms of interest rates, warehousing costs, and convenience yields, and the ...
M. J. Page
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The Term Structure of Interest-Rate Futures Prices [PDF]
SSRN Electronic Journal, 1999 We derive general properties of two-factor models of the term structure of interestrates and, in particular, the process for futures prices and rates. Then, as a special case, we derive a no-arbitrage model of the term structure in which any two futures rates act as factors.
R.C. Stapleton, Marti G. Subrahmanyam
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Commodity Market Heterogeneity and Cross-Market Integration
Applied Finance Letters, 2017 We evaluate the recent levels of heterogeneity and cross-market integration for fluctuations in commodity futures returns for a post-financial-crisis data sample. We find that a single commodity-market risk factor explains 30.6% of the total variation in
Michael Kunkler
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A STUDY ON FINANCIAL DERIVATIVE WORLDWIDE TRANSACTIONS – FUTURES CONTRACTS [PDF]
Annals of the University of Oradea: Economic Science, 2012 Financial products and financial derivatives transactions are on front page in the profile publications, because they have generated huge gains for a small part of market participants, and losses as well, sometimes followed by collapse even on the ...
SECHEL Ioana-Cristina, CIOBANU Gheorghe
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Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks
Risks, 2020 Interest rate benchmarks are currently undergoing a major transition. The LIBOR benchmark is planned to be discontinued by the end of 2021 and superseded by what ISDA calls an adjusted risk-free rate (RFR).
Andrea Macrina, David Skovmand
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Interest Rate Swap Market Complexity and Its Risk Management Implications
Complexity, 2018 The primary objective of this paper is to study the post Dodd-Frank network structure of the interest rate swap market and propose a set of effective complexity measures to understand how the swap users respond to market risks.
Steve Y. Yang, Esen Onur
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South African Journal of Business Management, 2003 In a rational efficiently functioning market, the price of the share index and share index futures contracts should be perfectly contemporaneously correlated.
B. Motladiile, E. V.D.M. Smit
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Foreign Exchange Futures Trading and Spot Market Volatility in Thailand
RisksThis paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity, including trading ...
Woradee Jongadsayakul
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ANALISIS KONTRAK BERJANGKA OLEIN DI BURSA BERJANGKA JAKARTA
Jurnal Manajemen & Agribisnis, 2011 Study about efficient market hypothesis is a common object for many financial researchers. Nevertheless, there are still limited studies about futures contract market particularly in the emerging market.
Andam Dewi +3 more
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