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Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices
Kuruppuarachchi, D.
;
Lin, H.
;
Premachandra, I.M.
(
Economic Modelling
,
2018-01
)
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Author
Kuruppuarachchi, D. (1)
Lin, H. (1)
Premachandra, I.M. (1)
Subject
Commodity futures (1)
Futures risk premium (1)
Kalman filter (1)
Market efficiency (1)
State-space model (1)
... View More
Date Issued
2018 (1)