haku: @author Laws, J. / yhteensä: 4
viite: 3 / 4
| Tekijä: | Laws, J. Thompson, J. |
| Otsikko: | The efficiency of financial futures markets: Tests fo prediction accuracy |
| Lehti: | European Journal of Operational Research
2004 : JUN, VOL. 155:2, p. 284-298 |
| Asiasana: | Market efficiency Financial futures Forecasting |
| Kieli: | eng |
| Tiivistelmä: | The prices of financial futures contracts can be interpreted as forecasts of the spot rates, which will apply at the final delivery date of that contract. Tests are carried out to examine whether the interest rates implied by the futures price for eurodollar and short sterling contracts are cointegrated with the final settlement price over forecasting horizons of 1, 2 and 3 months. Similar analysis is carried out for the yen/dollar exchange rate futures contract. The paper then examines the forecasting performance of the three contracts over the forecasting horizons of 1, 2 and 3 months and in particular whether the forecasts implied by the futures contract provide better predictions than the naive no-change, a vector error correction model (VECM) or an ARIMA model. |
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