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General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence
Author(s): Michael L. Hemler and Francis A. Longstaff
Source: The Journal of Financial and Quantitative Analysis, Vol. 26, No. 3 (Sep., 1991), pp. 287
-308
Published by: University of Washington School of Business Administration
Stable URL: /stable/2331208
Accessed: 22/03/2010 01:07
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General Equilibrium Stock Index Futures Prices:
Theory and Empirical Evidence
Michael L. Hemler and Francis A. Longstaff*
Abstract
We develop a closed-form general equilibrium model of stock index futures prices in a
continuous-time
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