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The Relation Between Volatility and Maturity in Futures Contracts
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alpha level analysis Arizona Auction average returns bank bias cash price cattle feeder Chicago Mercantile Exchange Choice steers contract maturity countries currency currency futures descriptors devaluing Econ efficiency Equation estimated Exchange Rate exchange-rate F-ratios feeder cattle feedlot forecast errors forward rate futures contract futures market Futures market Outlook futures prices grade hedging revenue hedging-revenue variances heifers hogs holding period horizon hypothesis indicate interest rate parity interfractile range inventory positions investment investor Kanner Livestock location-basis variability market Outlook letter mean measure Mexican peso moderately fleshed month 14 negative observations Omaha percent Percentage placed on feed pork bellies pound predicted price change price movements price spread price variances price-spread model profits rate parity theorem ratio realized-basis reported risk sample serial correlation significant Sioux City Southern Plains speculative spot prices spot rate statistical Strategy subperiods Table tion trading transaction costs U.S. Department weeks weight zero