- Tytuł:
-
Uwagi o działaniu prawa jednej ceny na Londyńskiej Giełdzie Metali
Does the law of one price apply to copper at the London Metal Exchange? - Autorzy:
- Chylińska, Marta
- Powiązania:
- https://bibliotekanauki.pl/articles/424777.pdf
- Data publikacji:
- 2013
- Wydawca:
- Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
- Tematy:
-
law of one price
cost-of-carry
cointegration
London Metal Exchange - Opis:
- This paper reports the results of testing for validity of the law of one price with respect to copper at the London Metal Exchange. In doing so a cost-of-carry model is estimated and validated on monthly sampled data exhibiting its spot and 3, 15 and 27-month futures prices from the period January 1998−December 2011. The main findings include that the spot and futures prices exhibit common stochastic trends and their log spreads have cointegraiting properties. Since the structure of the latter is autoregressive they reflect time-varying liquidity (risk) premium.
- Źródło:
-
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 4(42); 130-139
1507-3866 - Pojawia się w:
- Econometrics. Ekonometria. Advances in Applied Data Analytics
- Dostawca treści:
- Biblioteka Nauki
Artykuł