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- W2022807637 abstract "With the globalization of financial and commodity markets, it is becoming increasingly important to recognize price linkages between markets beyond national boundaries. Models of futures pricing that incorporate such price linkages into the information set can be expected to be superior empirically. Test results obtained in the paper support this proposition strongly in the case of Brent crude oil futures contracts traded in a mutual offset system between the Singapore International Monetary Exchange (SIMEX) and the International Petroleum Exchange (IPE). Augmented models of SIMEX Brent futures contracts are obtained by incorporating the previous day's IPE Brent futures price into the equation system for the unbiased expectations and the cost-of-carry hypotheses, whereas augmented models of IPE Brent futures contracts are obtained by incorporating the same day's SIMEX Brent futures price in the system for the two hypotheses. On the basis of tests of zero restrictions, the system for the augmented unbiased expectations hypothesis is found to be superior empirically to the system for the standard Unbiased Expectations hypothesis, and the augmented cost-of-carry system is also found to be superior empirically to the standard cost-of-carry system for both SIMEX Brent futures and IPE Brent futures contracts." @default.
- W2022807637 created "2016-06-24" @default.
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- W2022807637 date "2004-09-01" @default.
- W2022807637 modified "2023-09-26" @default.
- W2022807637 title "Efficient estimation and testing of oil futures contracts in a mutual offset system" @default.
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- W2022807637 doi "https://doi.org/10.1080/0960310042000284687" @default.
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