Pricing Term Structure Risk in Futures Markets
分析不同到期日期货合约的预期收益差异，发现风险溢价与期货价格期限结构有关，对取暖油和德国马克期货适用简单模型，而黄金和大豆期货的风险溢价取决于当前期限结构的斜率。
One-period expected returns on futures contracts with different maturities differ because of risk premia in the spreads between futures and spot prices.We analyze the expected returns for futures contracts with different maturities using the information that is present in the current term structure of futures prices.A simple affine one-factor model that implies a constant covariance between the pricing kernel and the cost-of-carry can not be rejected for heating oil and German Mark futures contracts.For gold and soybean futures the risk premia depend on the slope of the current term structure of futures prices, while for live cattle futures the evidence is mixed.