of Traders (SCOT) and find, consistent with most of the earlier literature, that index-fund investing seems to have had little impact on futures prices in these ...

University of California, San Diego, U.S.A.; University of Chicago, U.S.A. ... 1 Financial support from the University of Chicago Booth School of Business is ...

Typically a margin (collateral) is posted with the 'broker' by each party, which is meant to be ... R is the return on short-term interest-bearing securities,. ˜. RM.

Jun 28, 2007 - prices that take into account mean reversion, in terms of their ability to price ...... yield is high (25 percent per year) because we are estimating ...

Jan 29, 2007 - Your use of the JSTOR archive indicates your acceptance of JSTOR's ... The Message in Daily Exchange Rates: A Conditional-Variance Tale.

trade shares helps us isolate the source of a nationps terms of trade varia' tion in the ..... estimates are inflation rates, in U.S. dollars, of a particular good, i, Api,t,.

207. American Economic Journal: Macroeconomics 2014, 6(2): 207–237 ..... measured by real GDP, industrial production, volume of exports and imports, plus the ..... versus US expenditures and sectoral output) are fairly robust to this impact ...

Lessons from Canada†. By Valery ..... With regard to Table 2, the main lesson to be drawn is that the business cycle statistics of the ...... Computer and electronic.

Jan 29, 2014 - Simon School of Business, University of Rochester. ‡. The Wharton ...... the forward premium puzzle, Working Paper Harvard University. Ferraro ...

where W is a standard d-dimensional Wiener process. 5. The same is ..... d〈ϵ(·,s),f(·,s)〉t = σϵσf ρϵf e. −(κϵ+κf )(s−t) ...... (σf (u,s)−σϵ(u,s))ds)duP(0,t)F(0,T),. (50).