Testing the martingale hypothesis for futures prices: Implications for hedgers

C-Tier

Journal: Journal of Futures Markets

Year: 2008

Volume: 28

Issue: 11

Pages: 1040-1065

Authors (3)

Cédric de Ville de Goyet (not in RePEc) Geert Dhaene (KU Leuven) Piet Sercu (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count