The efficiency of financial futures markets: Tests of prediction accuracy
暂无分享,去创建一个
[1] P. Phillips. Testing for a Unit Root in Time Series Regression , 1988 .
[2] L. Telser. Futures Trading and the Storage of Cotton and Wheat , 1958, Journal of Political Economy.
[3] M. Brennan. The Supply of Storage , 1976 .
[4] T. Hazuka. Consumption Betas and Backwardation in Commodity Markets , 1984 .
[5] Antonios Antoniou,et al. Futures Market Efficiency, the Unbiasedness Hypothesis and Variance-Bounds Tests: The Case of the FTSE-100 Futures Contract , 1996 .
[6] Christopher J. Neely. Are changes in foreign exchange reserves well correlated with official intervention , 2000 .
[7] W. Fuller,et al. Distribution of the Estimators for Autoregressive Time Series with a Unit Root , 1979 .
[8] B. G. Quinn,et al. The determination of the order of an autoregression , 1979 .
[9] S. Johansen,et al. MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY , 2009 .
[10] B. Davidson,et al. Is the Australian wool futures market efficient as a predictor of spot prices , 1999 .
[11] Forecasting interest rates from financial futures markets , 1996 .
[12] Manolis G. Kavussanos,et al. The forward pricing function of the shipping freight futures market , 1999 .
[13] S. Johansen. STATISTICAL ANALYSIS OF COINTEGRATION VECTORS , 1988 .
[14] R. Shiller,et al. The Use of Volatility Measures in Assessing Market Efficiency , 1980 .
[15] P. Newbold,et al. The relative efficiency of commodity futures markets , 1999 .
[16] James G. MacKinnon,et al. Critical Values for Cointegration Tests , 1990 .
[17] Jesus Gonzalo,et al. Five alternative methods of estimating long-run equilibrium relationships , 1994 .
[18] Gwilym M. Jenkins,et al. Time series analysis, forecasting and control , 1971 .
[19] Charles M. S. Sutcliffe,et al. Stock Index Futures: Theories and International Evidence , 1997 .
[20] Hans-Eggert Reimers,et al. Comparisons of tests for multivariate cointegration , 1992 .
[21] D. Peel,et al. On Testing for Unbiasedness and Efficiency of Forecasts , 1990 .
[22] W. Fuller,et al. LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOT , 1981 .
[23] Effects of skewness and kurtosis on model selection criteria , 1998 .
[24] Douglas T. Breeden. Consumption Risk in Futures Markets , 1980 .
[25] Predicting interest rates: a comparison of professional and market- based forecasts , 1987 .
[26] H. Akaike,et al. Information Theory and an Extension of the Maximum Likelihood Principle , 1973 .
[27] G. Schwarz. Estimating the Dimension of a Model , 1978 .
[28] C. B. Tilanus,et al. Applied Economic Forecasting , 1966 .