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Author: | Miffre, J. |
Title: | Efficiency in the pricing of the FTSE 100 futures contract |
Journal: | European Financial Management
2001 : MAR, VOL. 7:1, p. 9-22 |
Index terms: | EFFICIENCY FUTURES MARKETS PRICING |
Language: | eng |
Abstract: | This paper studies the pricing efficiency in the FTSE 100 futures contract by linking the predictable movements in futures returns to the time-varying risk and risk premia associated with perspectified factors. The results indicate that the predictability of the FTSE 100 futures returns is consistent with a conditional multifactor model with time-varying moments. |
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