Samuelson hypothesis, arbitrage activity, and futures term premiums

Article (Web of Science), Early Access (Web of Science)

• cited authors: Brooks, Robert; Teterin, Pavel
• authors: Teterin, Pavel
• publication date: May 12, 2020
• webpage: Web of Science
• published in: JOURNAL OF FUTURES MARKETS Journal
• category: BUSINESS, FINANCE Category

keywords

• Samuelson hypothesis
• futures risk premiums
• futures volatility
• maturity effect