www.econstor.eu Futures Premium Regressions and a Latent Factor Day by Day∗
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چکیده
منابع مشابه
The Forward Premium Puzzle and Latent Factors Day by Day∗
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to control for the influence of an unobserved factor that can be decomposed into a contract-specific and a ti...
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