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Causality in futures markets
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Causality in futures markets (2006)Causality in futures marketsThe Dappled World (1999)The Dappled WorldThe variation of certain speculative prices (1997)The variation of certain spec…Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions (1997)Impulse Response Functions Ba…Volume, Volatility, and the Dispersion of Beliefs (1993)Volume, Volatility, and the D…Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Systematic Risk, Hedging Pres…Integration Versus Trend Stationary in Time Series (1992)Integration Versus Trend Stat…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …The pricing of commodity contracts (1976)The pricing of commodity cont…Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…A Treatise on Money (1971)A Treatise on MoneyFutures Trading and the Storage of Cotton and Wheat (1958)Futures Trading and the Stora…Value and Capital (1939)Value and CapitalThe Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Explanation and Understanding (2005)Explanation: a mechanist alternative (2005)An Engine, Not a Camera (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Self-fulfilling prophecies (1981)The contingent valuation method: a review (2003)Rare Disasters, Asset Prices, and Welfare Costs (2009)Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)The use of technical analysis in the foreign exchange market (1992)Facts and Fantasies about Commodity Futures (2006)
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References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1939Value and Capital2,893 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1999The Dappled World2,475 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1971A Treatise on Money1,728 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1958Futures Trading and the Storage of Cotton and Wheat553 cited
  • 1992Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets538 cited
  • 1992Integration Versus Trend Stationary in Time Series504 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited
  • 1993Volume, Volatility, and the Dispersion of Beliefs478 cited
  • 1997

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Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
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