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- W2018542920 abstract "In theory, futures resettlement should create systematic pricing differences between futures and forward contracts; however, previous empirical studies do not demonstrate such differences in the foreign exchange markets. On the other hand, inferences from these studies are suspect since they do not directly implement theortical measures of resettlement effects and are unadjusted for sub-Gaussian data properties. In this paper, these limitations are addressed through the use of the Multivariate Autoregressive Moving-Average model. Our findings provide evidence of systematic pricing influences arising from futures resettlement." @default.
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- W2018542920 date "1991-12-01" @default.
- W2018542920 modified "2023-09-24" @default.
- W2018542920 title "A comparison of foreign exchange forward and futures prices" @default.
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- W2018542920 doi "https://doi.org/10.1016/0378-4266(91)90050-v" @default.
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