Time-Varying Risk Premia in the Foreign Currency Futures Basis

Christopher F. Baum, John Barkoulas

Research output: Contribution to journalArticlepeer-review

14 Scopus citations
Original languageAmerican English
JournalJournal of Futures Markets
Volume16
StatePublished - 1996

Disciplines

  • Finance

Keywords

  • Foreign currency
  • Futures basis
  • Time-varying risk permia

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