MARKET EFFICIENCY IN AGRICULTURAL FUTURES MARKETS

This paper tests for both long run and short run market efficiency and unbiasedness in five agricultural futures markets. The possible existence of constant and time varying risk premia are taken into account using cointegration procedures and error correction models within a GARCH framework.


Subject(s):
Issue Date:
1998
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/20933
Total Pages:
15
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-24

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