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Pricing of Non-ferrous Metals Futures on the London Metal Exchange
http://hdl.handle.net/2261/2489
http://hdl.handle.net/2261/24893fa26038-a837-45cf-8cd3-0a0d100b0313
| アイテムタイプ | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-06-03 | |||||
| タイトル | ||||||
| タイトル | Pricing of Non-ferrous Metals Futures on the London Metal Exchange | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Watkins, Clinton
× Watkins, Clinton× Michael, McAleer |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The London Metal Exchange (LME) is the most important centre for spot and futures trading in the main industrially-used non-ferrous metals. In this paper, data on 3-month futures contracts for aluminium, aluminium alloy, copper, lead, nickel, tin and zinc are analysed. The risk premium hypothesis and the cost-of-carry model are the standard theoretical models for pricing futures contracts, but these two models have rarely been estimated within a unified framework for metals futures. Single equation versions of the risk premium hypothesis and the cost-of-carry model are nested within a more general model. If the spot price, futures price, interest rate and stock level variables contain stochastic trends, long run versions of the general model can be estimated within a cointegration framework. Various long run pricing models are estimated using daily LME price data for the period 1 February 1986 to 30 September 1998. Likelihood ratio tests are used to test restrictions on the general model to examine the validity of alternative nested specifications. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 2003-CF-213, 号 University of Western Australia, 発行日 2003-03 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf213ab.html | |||||
