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Maturity effects in energy futures
11 references·2 citing·40 second hop
Maturity effects in energy futures (1992)Maturity effects in energy futuresProof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Business Cycles and the Behavior of Metals Prices (1988)Business Cycles and the Behav…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Price variability and the maturity effect in futures markets (1986)Price variability and the mat…Futures Price Variability: A Test of Maturity and Volume Effects (1986)Futures Price Variability: A …Some determinants of the volatility of futures prices (1985)Some determinants of the vola…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Modelling the relationship between future energy intraday volatility and trading volume with wavelet (2016)Modelling the relationship be…The Relationship Between Energy Spot And Futures Prices: Evidence From The Australian Electricity Market (2004)The Relationship Between Ener…Option Pricing: The American Put (1977)ARCH modeling in finance (1992)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Futures Trading and the Storage of Cotton and Wheat (1958)Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure (1995)Facts and Fantasies about Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)MONEY, INCOME, AND CAUSALITY (1972)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)The Dependence between Hourly Prices and Trading Volume (1988)Volume‐volatility relationships for crude oil futures markets (1995)The Determinants of the Variability of Stock Market Prices (1980)The Time Pattern of Hedging and the Volatility of Futures Prices (1983)The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses (1989)Estimating time‐varying optimal hedge ratios on futures markets (1991)Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metals Prices (1994)Time Series Analysis, Forecasting and Control. (1971)Inference in Linear Time Series Models with some Unit Roots (1990)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Forecasting Economic Time Series (2000)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Theory of Financial Decision Making. (1988)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing for unit roots in heterogeneous panels (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1988Business Cycles and the Behavior of Metals Prices447 cited
  • 1985Some determinants of the volatility of futures prices236 cited
  • 1986Futures Price Variability: A Test of Maturity and Volume Effects191 cited
  • 1986Price variability and the maturity effect in futures markets134 cited

Cited by

  • 2016Modelling the relationship between future energy intraday volatility and trading volume with wavelet18 cited
  • 2004The Relationship Between Energy Spot And Futures Prices: Evidence From The Australian Electricity Market18 cited

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