… Mark Castelino is an Assistant Professor qf Finance, Rutgers University, Newark. … [See
Castelino (1989, 1990a) for an explanation of the relationship of “time dimension” to basis …

… Castelino (1981) provided strong evidence supporting the Samuelson proposition, while
Dusak (1979), Rutledge (1976), and Segall (1956) have come up with evidence which …

… Powers and Castelino examine virtually every aspect of the futures markets, thereby
enabling you to gain a well-rounded understanding of the variables that affect these lucrative in…

Hedging is often defined as speculating on the basis. Because the differences between cash
and futures prices must narrow on average as the contract expiration is approached, risk-…

Most hedges placed in futures markets must be lifted before contract expiration, which
necessitates incurring “basis risk.” The focus of this paper is on quantifying such risk as a function …

… This is consistent with the results obtained by Castelino (1990a) for hedging 90-day T-bills
and 90-day LIBOR with the T-bill and the Eurodollar futures contracts, respectively. That study …

… The reason for the decline in hedge ratios as the hedge lifting date recedes from expiration
is the result of increasing basis risk as time to expiration increases (see Castelino [a]). The …

… In a study of basis volatility, Castelino and Fran- … The implication of the Castelino and
Francis study together with Samuelson's (1965) hypothesis on futures price volatility suggests a …

The volatility of changes in futures prices increases as contract maturity is approached.
Holders of futures contracts are thus bearing increasing levels of risk on a per day or per week …

… 512.6 (297.3, 883.8) pg/mg], possibly because acute exposures during an aflatoxicosis
outbreak in 2004 may have masked any … The detection limit was 3 pg AF-alb per 1 mg albumin. …