3Choudhry T.Short-run Deviations and Volatility in Spot and Futures Stock Returns:Evidence from Australia,Hong Kong,and Japan[J].Journal of Futures Markets,1997,(17):689-705.
4Clinton W,and Michael M.Cointegration analysis of metals futures[J].Mathematics and Computers in Simulation,2002,(59):207 -221.
5Dickey DA,and Fuller WA.The Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root[J],Econometrica,1981,(49):1057-1072.
6Engle R F,and Granger CW.Cointegration and Error Correction Representation,Estimation and Testing[J].Econometrica,1987,(55):251 -276.
7Garbade KD,and Silber W L.Price Movements and Cash Discovery in Futures and Cash Markets[J].Review of Economics and Statistics,1983,(65):289-297.
8Haigh MS.Cointegration,Unbiased Expectations,and Forecasting in the BIFFEX Freight Futures Market[J].Journal of Futures Markets,2000,(6):545-571.
9Hasbrouck J.One Security,Many Markets:Determining the Contributions to Price Discovery[J].Journal of Finance,1995,(50):1175-1199.
10Johansen S,and Juselius K.Maximum Likelihood Estimation and Inference on Cointegration -with Applications to the Demand for Money[J].Oxford Bulletin of Economics and Statistics,1990,(52):169 -210.
2Working H. The Theory of the inverse carrying charge in futures markets [ J]. Journal of Farm Economics, 1948, 30 (1) :1 -28.
3Bigman D, Goldfarb D,Schechtman E. Futures Market Effi-eiency and the Time Content of the Information Sets [ J ]. Journal of Futures Markets, 1983, (3) :321 - 334.
4Mabedy E D. Testing Futures Market Efficiency : A Restatement[ J]. Journal of Futures Markets, 1985, (5) : 425 - 432.
5Johanscn S. Statistical Analysis of Cointegrating Vectors [J]. Journal of Economic Dynamics and Control, 1988, (12) :231 -254.
6Bigman D,Goldfarb D,Schechtman E.Futures market efficiency and the time content of the information sets[].The Journal of Finance.1983
7Johansen S.Statistical Analysis of Cointegration Vectors[].Journal of Econometrics.1988
8Engle Robert F.Autoregressive Conditional Heteroscedasticity With Estimate of the Variance of United Kingdom Inflation. Econometrica . 1982
9Johansen S.Statistical Analysis of Cointegration Vectors[].Journal of Econometrics.1988
10Maberly E D.Testing Futures Market Efficiency, A Restatement[].The Journal of Finance.1985
