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The efficiency of financial futures markets: Tests of prediction accuracy

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  • Laws, Jason
  • Thompson, John

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  • Laws, Jason & Thompson, John, 2004. "The efficiency of financial futures markets: Tests of prediction accuracy," European Journal of Operational Research, Elsevier, vol. 155(2), pages 284-298, June.
    • Handle: RePEc:eee:ejores:v:155:y:2004:i:2:p:284-298
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    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Breeden, Douglas T, 1980. "Consumption Risk in Futures Markets," Journal of Finance, American Finance Association, vol. 35(2), pages 503-520, May.
    4. Hazuka, Thomas B, 1984. "Consumption Betas and Backwardation in Commodity Markets," Journal of Finance, American Finance Association, vol. 39(3), pages 647-655, July.
    5. Christopher J. Neely, 2000. "Are changes in foreign exchange reserves well correlated with official intervention?," Review, Federal Reserve Bank of St. Louis, vol. 82(Sep), pages 17-32.
    6. Shiller, Robert J, 1981. "The Use of Volatility Measures in Assessing Market Efficiency," Journal of Finance, American Finance Association, vol. 36(2), pages 291-304, May.
    7. Antoniou, Antonios & Holmes, Phil, 1996. "Futures Market Efficiency, the Unbiasedness Hypothesis and Variance-Bounds Tests: The Case of the FTSE-100 Futures Contract," Bulletin of Economic Research, Wiley Blackwell, vol. 48(2), pages 115-128, April.
    8. Holden, K & Peel, D A, 1990. "On Testing for Unbiasedness and Efficiency of Forecasts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(2), pages 120-127, June.
    9. Michael T. Belongia, 1987. "Predicting interest rates: a comparison of professional and market- based forecasts," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 9-15.
    10. Baci, Sidika & Zaman, Asad, 1998. "Effects of skewness and kurtosis on model selection criteria," Economics Letters, Elsevier, vol. 59(1), pages 17-22, April.
    11. Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, vol. 66(3), pages 233-233.
    12. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
    13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    14. A. G. Malliaris (ed.), 1997. "Futures Markets," Books, Edward Elgar Publishing, volume 0, number 972.
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    Cited by:

    1. Ghosh, Indranil & Chaudhuri, Tamal Datta & Alfaro-Cortés, Esteban & Gámez, Matías & García, Noelia, 2022. "A hybrid approach to forecasting futures prices with simultaneous consideration of optimality in ensemble feature selection and advanced artificial intelligence," Technological Forecasting and Social Change, Elsevier, vol. 181(C).
    2. Bernardina Algieri & Matthias Kalkuhl, 2019. "Efficiency and Forecast Performance of Commodity Futures Markets," American Journal of Economics and Business Administration, Science Publications, vol. 11(1), pages 19-34, June.
    3. Christodoulakis, George, 2020. "Estimating the term structure of commodity market preferences," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1146-1163.
    4. Bozos, Konstantinos & Nikolopoulos, Konstantinos, 2011. "Forecasting the value effect of seasoned equity offering announcements," European Journal of Operational Research, Elsevier, vol. 214(2), pages 418-427, October.
    5. Philippe Raimbourg & Paul Zimmermann, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," Post-Print hal-04011013, HAL.
    6. Raimbourg, Philippe & Zimmermann, Paul, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," European Journal of Operational Research, Elsevier, vol. 298(1), pages 351-367.
    7. Algieri, Bernardina & Kalkuhl, Matthias, 2014. "Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers," Discussion Papers 187159, University of Bonn, Center for Development Research (ZEF).
    8. Tabak, Benjamin M. & Lima, Eduardo J.A., 2009. "Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules," European Journal of Operational Research, Elsevier, vol. 194(3), pages 814-820, May.

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