Market Efficiency, Arbitrage and the NYMEX Crude Oil Futures Market
Description:
Since Engle and Granger formulated the concept of cointegration in 1987, the literature has extensively examined the unbiasedness of the commodity futures prices using the cointegration-based technique. Despite intense attention, many of the previous studies suffer from the contradicting empirical results. That is, the cointegration test and the stationarity test on the differential contradict each other. In marked contrast, my dissertation develops the no-arbitrage cost-of-carry model in the N…
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Date:
August 2016
Creator:
Nishi, Hirofumi
Partner:
UNT Libraries