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ArticleThe behaviour of futures prices over time

Unknown author1985

Article1985

The behaviour of futures prices over time

Unknown author

48 citations·0/0 files stored·Applied Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

(1985). The behaviour of futures prices over time. Applied Economics: Vol. 17, No. 4, pp. 713-734.

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2019American Economic Review 1980On estimating the expected return on the market 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1980Stock returns and the weekend effect 1983The Price Variability-Volume Relationship on Speculative Markets 1978Some anomalous evidence regarding market efficiency 1977Foundations of Finance.

Cited by

1991A comparison of petroleum futures versus spot prices as predictors of prices in the future 1987Are petroleum futures prices good predictors of cash value?1991Measuring seasonalities in commodity markets and the half‐month effect 2004Price Volatility Forecasts for Agricultural Commodities: An Application of Historical Volatility Models, Option Implieds and Composite Approaches for Futures Prices of Corn and Wheat 1994Daily futures price changes and non-linear dynamics

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Details

Year1985

Typearticle

Published1985-08-01

VenueApplied Economics

ISSN-L0003-6846

Languageen

Citations48

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1080/758534702

openalex_workW2011152512

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1999

Modeling nonlinear dynamics of daily futures price changes