The information content of 3-month sterling futures

DOI10.1016/S0165-1765(98)00164-5zbMath0912.90057OpenAlexW1993773674MaRDI QIDQ1274655

Ashok J. Bhundia, Jagjit S. Chadha

Publication date: 12 January 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00164-5

zbMATH Keywords

cointegrationterm structureinterest rate futures

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency
• Asymptotic Properties of Residual Based Tests for Cointegration

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