Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The behaviour of futures prices over time

16 references·13 citing·42 second hop

FromToDepth

this work references cited by second hop

References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
2019American Economic Review10,902 cited
1980On estimating the expected return on the market2,818 cited
1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
1980Stock returns and the weekend effect1,997 cited
1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
1978Some anomalous evidence regarding market efficiency1,419 cited
1977Foundations of Finance.1,128 cited
1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
1961Price Movements in Speculative Markets : Trends or Random Walks645 cited
1984Orange Juice and Weather540 cited
1972The Distribution of Share Price Changes533 cited
1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited
1980Risk and Return in Commodity Futures416 cited
1982Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75326 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1982The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement308 cited

Cited by

1991A comparison of petroleum futures versus spot prices as predictors of prices in the future81 cited
1987Are petroleum futures prices good predictors of cash value?77 cited
1991Measuring seasonalities in commodity markets and the half‐month effect37 cited
2004Price Volatility Forecasts for Agricultural Commodities: An Application of Historical Volatility Models, Option Implieds and Composite Approaches for Futures Prices of Corn and Wheat28 cited
1994Daily futures price changes and non-linear dynamics27 cited
1999Modeling nonlinear dynamics of daily futures price changes27 cited
1989The usefulness of historical data in selecting parameters for technical trading systems25 cited
2009The Limits to Minimum‐Variance Hedging24 cited
2004The Profitability of Technical Analysis: A Review22 cited
1997Noise Traders, Market Sentiment, and Futures Price Behavior22 cited
2001Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract21 cited
1992AN ALTERNATIVE APPROACH FOR DETERMINING HEDGE RATIOS FOR FUTURES CONTRACTS18 cited
2006The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market,18 cited