Do the Pure Martingale and Joint Normality Hypotheses Hold for Futures Contracts? Implications for the Optimal Hedge Ratios

Chen, Sheng-SyanSheng-SyanChenLee, Cheng-fewCheng-fewLeeKeshab Shrestha2008-10-172018-07-092008-10-172018-07-092007http://ntur.lib.ntu.edu.tw//handle/246246/83701application/pdf220648 bytesapplication/pdfen-USDo the Pure Martingale and Joint Normality Hypotheses Hold for Futures Contracts? Implications for the Optimal Hedge Ratiosjournal article10.1016/j.qref.2005.10.002http://ntur.lib.ntu.edu.tw/bitstream/246246/83701/1/24.pdf