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英文文献：Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis-建立可可期货市场风险溢价的存在:计量经济学分析
英文文献作者：Armah, Stephen E.
英文文献摘要：
Previous attempts at identifying and estimating a time-varying risk premium in the cocoa futures market yielded conflicting results. Using a longer series that includes the most recent cash and futures data, the existence of a time-varying risk premium in the cocoa futures market is re-investigated using LM ARCH tests and a Quadratic ARCH in Mean Error Correction Model. In contrast to available research the time series properties of the data are carefully accounted for by employing the most recent econometric techniques in testing for the presence of a risk premium. No evidence is found in support of a positive time-varying [or constant] risk premium in the cocoa futures market at conventional significance levels. The result suggests that cocoa producing countries have one less cost to consider in deciding whether or not to hedge cocoa price risk using futures contracts.
以前，人们试图确定和估计可可期货市场上随时间变化的风险溢价，结果却相互矛盾。使用一个较长的系列，包括最近的现金和期货数据，在可可期货市场上存在的时变风险溢价使用LM ARCH检验和平均误差修正模型的二次ARCH重新研究。与现有的研究相反，数据的时间序列特性是通过使用最近的计量经济学技术来检验风险溢价的存在而仔细考虑的。没有证据支持可可期货市场在传统显著水平上存在正的时变(或恒定)风险溢价。这一结果表明，可可豆生产国在决定是否使用期货合约对冲可可豆价格风险时，可考虑的成本少了一项。
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