The differences between forward and future prices : analysis and implications
This thesis explores the difference between Euromark futures and forward prices by analyzing the basis. We first identify and observe the existence of basis and examine the maturity effect on futures prices volatility with the Samuelson (1965) Hypothesis. We then attempt to explain the basis pattern...
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University of Manchester
1996
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.633247 |