Threshold Adjustment in Spot-Futures Metals Price

David Gordon McMillan

    Research output: Contribution to journalArticlepeer-review


    Using a threshold-error-correction model for non-ferrous metals spot-futures prices the study reports evidence that equilibrium adjustment is quicker when the futures price exceeds the spot price. This supports the view that the commodities consumption value leads investors to retain the asset even when overpriced.
    Original languageEnglish
    Pages (from-to)5-8
    JournalApplied Financial Economics Letters
    Issue number1
    Publication statusPublished - 2005


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