An Investigation of Commodity Futures Prices Using the Consumption‐Based Intertemporal Capital Asset Pricing Model
将多商品期货定价模型扩展到动态离散时间，并用玉米、小麦和大豆的期货数据检验模型，发现模型被拒绝，并探讨了可能违反的假设。
ABSTRACT In this paper we extend the multigood futures pricing model of Grauer and Litzenberger [9] to a dynamic discrete time setting. We then test the model using data on futures prices for corn, wheat, and soybeans. The parameter estimates we obtain are similar to those obtained by other researchers using stock return data. The model itself is rejected and we offer some suggestions as to which assumption may be violated. We also give an interpretation to the Hansen‐Singleton nonlinear instrumental variables estimation technique used in our empirical work.