Analyzing specification errors in models for futures risk premia with hedging pressure

Research output: Working paperDiscussion paperOther research output

272 Downloads (Pure)
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages35
Volume1997-102
Publication statusPublished - 1997

Publication series

NameCentER Discussion Paper
Volume1997-102

Keywords

  • capital asset pricing
  • risk premium
  • hedging
  • futures markets

Cite this

de Roon, F. A., Nijman, T. E., & Veld, C. H. (1997). Analyzing specification errors in models for futures risk premia with hedging pressure. (CentER Discussion Paper; Vol. 1997-102). Tilburg: Finance.
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note = "Pagination: 35",
year = "1997",
language = "English",
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de Roon, FA, Nijman, TE & Veld, CH 1997 'Analyzing specification errors in models for futures risk premia with hedging pressure' CentER Discussion Paper, vol. 1997-102, Finance, Tilburg.

Analyzing specification errors in models for futures risk premia with hedging pressure. / de Roon, F.A.; Nijman, T.E.; Veld, C.H.

Tilburg : Finance, 1997. (CentER Discussion Paper; Vol. 1997-102).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Analyzing specification errors in models for futures risk premia with hedging pressure

AU - de Roon, F.A.

AU - Nijman, T.E.

AU - Veld, C.H.

N1 - Pagination: 35

PY - 1997

Y1 - 1997

KW - capital asset pricing

KW - risk premium

KW - hedging

KW - futures markets

M3 - Discussion paper

VL - 1997-102

T3 - CentER Discussion Paper

BT - Analyzing specification errors in models for futures risk premia with hedging pressure

PB - Finance

CY - Tilburg

ER -