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An application of arbitrage pricing theory to futures markets: Tests of normal backwardation

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  • Michael C. Ehrhardt
  • James V. Jordan
  • Ralph A. Walkling

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  • Michael C. Ehrhardt & James V. Jordan & Ralph A. Walkling, 1987. "An application of arbitrage pricing theory to futures markets: Tests of normal backwardation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(1), pages 21-34, February.
    • Handle: RePEc:wly:jfutmk:v:7:y:1987:i:1:p:21-34
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    Cited by:

    1. Lajos Horváth & Zhenya Liu & Curtis Miller & Weiqing Tang, 2024. "Breaks in term structures: Evidence from the oil futures markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2317-2341, April.
    2. Röthig, Andreas, 2008. "The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35698, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    3. Röthig, Andreas, 2008. "The impact of backwardation on hedgers' demand for currency futures contracts: theory versus empirical evidence," Darmstadt Discussion Papers in Economics 190, Darmstadt University of Technology, Department of Law and Economics.
    4. J. Frank & P. Garcia, 2009. "Time-varying risk premium: further evidence in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 41(6), pages 715-725.
    5. Abdul Rahim Al-Saati, 2003. "Sharia Compatible Futures مستقبليات مقترحة متوافقة مع الشريعة," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 15(1), pages 3-25, January.
    6. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, October.

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