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| Author: | Roon, F. |
| Title: | Pricing term structure risk in futures markets |
| Journal: | Journal of Financial and Quantitative Analysis
1998 : MAR, VOL. 33:1, p. 139-157 |
| Index terms: | PRICING RISK FUTURES MARKETS |
| Language: | eng |
| Abstract: | One-period expected returns on futures contracts with different maturities differ because of risk premia in the spreads between futures and spot prices. The authors analyze the expected returns for futures contracts with different maturities using the information that is present in the current term structure of futures prices. A simple affine one-factor model that implies a constant covariance between the pricing kernel and the cost-of-carry cannot be rejected for heating oil and German Mark futures contracts. |
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