文章基本信息

标题：MARKET EFFICIENCY IN AGRICULTURAL FUTURES MARKETS
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作者：McKenzie, Andrew M. ; Holt, Matthew T.
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：1998
期号：SUPPL
出版社：Food Distribution Research Society
摘要：This paper tests for both long run and short run market efficiency and unbiasedness in five agricultural futures markets. The possible existence of constant and time varying risk premia are taken into account using cointegration procedures and error correction models within a GARCH framework.