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Futures prices are not stable-Paretian distributed

Article Abstract:

The stable-Paretian model of stock and futures prices distribution is statistically analyzed. Results indicate that there is no real advantage to using the stable-Paretian distribution as simpler models are available for determining the stable distribution of futures prices with or without dependence and/or parameter stationarity. The stable-Paretian model is generally difficult to handle and is unsuitable as a model for futures prices involving a mixture of stables.

Prices, Distribution (Probability theory)

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The motivation for hedging revisited

Article Abstract:

Research is presented that develops a model illustrating the motivation to hedge is focused on the commercial environment, reflected by contract relationships with other firms. Reference is made to the use of futures markets to provide beneficial contracting arrangements, enhancing inter-company relationships.

Management, Contracts, Hedging (Finance), Business enterprises, Business-to-business market, Business to business market

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Normal backwardation is normal

Article Abstract:

Normal backwardation theory is usually assessed within the context of a constant expected return asses pricing model. Research has indicated that the assumption that expected future return are constant may be flawed. This study allows for variation through time in expected futures returns.

Study and teaching, Finance, Forecasting, Contango and backwardation

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