Time Varying Risk Premia in Futures Markets
Time Varying Risk Premia in Futures Markets

Author: Mr.Manmohan S. Kumar

Publisher: International Monetary Fund

Published: 1990-12-01

Total Pages: 32

ISBN-13: 145194196X

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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.

Time Varying Risk Premia in Futures Markets
Time Varying Risk Premia in Futures Markets

Author: Graciela Kaminsky

Publisher:

Published: 2006

Total Pages: 32

ISBN-13:

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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.

Debt, Risk and Liquidity in Futures Markets
Debt, Risk and Liquidity in Futures Markets

Author: Barry Goss

Publisher: Routledge

Published: 2007-09-17

Total Pages: 314

ISBN-13: 1134147317

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The issues of developing country debt crises, increased volatility and risk, and the determination of market liquidity are high on the agendas of policy makers, market participants and researchers in the area of financial markets. These issues are also of major importance to regulators and exchange officials. This book contains a collection of eigh

Rational Expectations and Efficiency in Futures Markets
Rational Expectations and Efficiency in Futures Markets

Author: Barry Goss

Publisher: Routledge

Published: 2005-10-09

Total Pages: 240

ISBN-13: 1134975201

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Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.

Generalized Method of Moments
Generalized Method of Moments

Author: Alastair R. Hall

Publisher: Oxford University Press

Published: 2005

Total Pages: 413

ISBN-13: 0198775210

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Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recentimportant developments in the field. Providing a comprehensive treatment of GMM estimation and inference, it is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empiricalexamples in macroeconomics and finance.Building from the instrumental variables estimator in static linear models, it presents the asymptotic statistical theory of GMM in nonlinear dynamic models. Within this framework it covers classical results on estimation and inference techniques, such as the overidentifying restrictions test andtests of structural stability, and reviews the finite sample performance of these inference methods. And it discusses in detail recent developments on covariance matrix estimation, the impact of model misspecification, moment selection, the use of the bootstrap, and weak instrumentasymptotics.

Economic Uncertainty, Instabilities And Asset Bubbles: Selected Essays
Economic Uncertainty, Instabilities And Asset Bubbles: Selected Essays

Author: Anastasios G Malliaris

Publisher: World Scientific

Published: 2005-10-03

Total Pages: 373

ISBN-13: 9814480045

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The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles.Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness.The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets.Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy.Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis.

Financial Aspects in Energy
Financial Aspects in Energy

Author: André Dorsman

Publisher: Springer Science & Business Media

Published: 2011-06-24

Total Pages: 229

ISBN-13: 3642197094

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Energy production and supply, as well as sourcing and consumption, are becoming evermore important in a volatile world. In this book, attention is paid to prevalent energy issues from a finance perspective. The topics discussed cover markets, prices, regulations and firms. An international group of authors from both academia and energy practice provides in twelve chapters a state of the art of the energy markets in a finance environment. They do so by discussing the current knowledge and presenting empirical research in this quickly changing and developing field. This book is the first in a planned series on energy at a high scientific level organized by the Centre for Energy and Value Issues (CEVI).

Crude Oil Exploration in the World
Crude Oil Exploration in the World

Author: Mohamed Younes

Publisher: BoD – Books on Demand

Published: 2012-03-16

Total Pages: 234

ISBN-13: 9535103792

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"Crude Oil Exploration in the World" contains multidisciplinary chapters in the fields of prospection and exploration of crude oils all over the world in addition to environmental impact assessments, oil spills and marketing of crude oils.

Exchange Rates and Economic Policy in the 20th Century
Exchange Rates and Economic Policy in the 20th Century

Author: Derek H. Aldcroft

Publisher: Routledge

Published: 2017-07-05

Total Pages: 315

ISBN-13: 1351937901

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The themes of this study are the exchange rate regimes chosen by policy makers in the twentieth century, the means used to maintain these regimes, and the impact of these decisions on individual national economies and the world economy in general. The book draws heavily on new research showing the lessons and the legacy left for policy makers by the gold standard and the attempt at its resurrection in the 1920s. In examining issues such as the gold exchange standard, the gold bullion standard, the experience of floating exchange rates, the Bretton Woods arrangements, the EMS and the ERM, and the Currency Board approach, there is a conscious attempt to draw out the relevance of history for policy makers now.