Spanning with futures contracts

被引：0
|
作者：
Galvani, Valentina [1 ]
Plourde, Andre [1 ,2 ]
机构：
[1] Univ Alberta, Dept Econ, Edmonton, AB T6G 2H4, Canada
[2] Carleton Univ, Fac Publ Affairs, Ottawa, ON K1S 5B6, Canada
来源：
QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2013年 / 53卷 / 01期
关键词：
D O I：
10.1016/j.qref.2012.10.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Regression- based testing techniques have long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments. This paper derives regression-based spanning tests for the case in which the investment possibilities set contains, or is constituted by, futures contracts for which marked-to-market margins are explicitly taken into account. Two empirical applications illustrate our results. (C) 2012 The Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.
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页码：61 / 72
页数：12
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