Cash settlement of futures contracts: an economic analysis
Article Abstract:
An economic model for the cash settlement of futures contracts is presented. Convenience of settlement and physical delivery costs are two reasons this may be preferable in certain circumstances.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2000
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A theory of negative prices for storage
Article Abstract:
A model for the negative storage prices of commodities is presented. Backwardation as a risk premium and convenience are two explanations given for negative storage prices.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2000
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Intraday volatility in interest rate and foreign exchange spot and futures markets
Article Abstract:
The correlation between macreconomic announcements and foreign exchange and interest rate futures and spot prices on an intraday basis is investigated and analyzed. Volatility patterns are also modeled.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
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- Abstracts: Return and volatility dynemics in the FT-SE stock index and stock index futures market. The intraday distribution of volatility and the value of wildcard options
- Abstracts: Price movements and price discovery in the municipal bond index and the index futures market. The relationship between volume and price variability in futures markets