Regression-based testing techniques have long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments. This paper derives regression-based spanning tests for the case in which the investment possibilities set contains, or is constituted by, futures contracts for which marked-to-market margins are explicitly taken into account. Two empirical applications illustrate our results.

Additional Metadata
Persistent URL dx.doi.org/10.1016/j.qref.2012.10.001
Journal Quarterly Review of Economics and Finance
Citation
Galvani, V. (Valentina), & Plourde, A. (2013). Spanning with futures contracts. Quarterly Review of Economics and Finance, 53(1), 61–72. doi:10.1016/j.qref.2012.10.001