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TEMPORAL PRICE BEHAVIOR IN COMMODITY FUTURES MARKETS*
16 references·16 citing·26 second hopsampled
TEMPORAL PRICE BEHAVIOR IN COMMODITY FUTURES MARKETS* (1975)TEMPORAL PRICE BEHAVIOR IN COMMODITY FUTU…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…The variation of certain speculative prices (1997)The variation of certain spec…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Rational Expectations and the Term Structure of Interest Rates (1972)Rational Expectations and the…INTEREST RATES ON MONETARY ASSETS AND COMMODITY PRICE INDEX CHANGES (1972)INTEREST RATES ON MONETARY AS…Time Series Analysis Forecasting and Control (1971)Time Series Analysis Forecast…A Treatise on Money (1971)A Treatise on MoneyEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …COMMODITY FUTURES: TRENDS OR RANDOM WALKS? (1970)COMMODITY FUTURES: TRENDS OR …Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models (1966)Forecasts of Future Prices, U…Filter Rules and Stock-Market Trading (1966)Filter Rules and Stock-Market…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Price Movements in Speculative Markets : Trends or Random Walks (1961)Price Movements in Speculativ…Futures Trading and the Storage of Cotton and Wheat (1958)Futures Trading and the Stora…The Analysis of Economic Time-Series-Part I: Prices (1953)The Analysis of Economic Time…Commodities momentum: A behavioral perspective (2016)Commodities momentum: A behav…Combining momentum with reversal in commodity futures (2015)Combining momentum with rever…Consumer Food Safety Risk Perceptions and Attitudes: Impacts on Beef Consumption across Countries (2007)Consumer Food Safety Risk Per…Robust estimation of the optimal hedge ratio (2003)Robust estimation of the opti…Commodity futures markets: a survey (1999)Commodity futures markets: a …The value of public information in commodity futures markets (1997)The value of public informati…Evidence of chaos in commodity futures prices (1992)Evidence of chaos in commodit…The soybean complex spread: An examination of market efficiency from the viewpoint of a production process (1991)The soybean complex spread: A…The behaviour of futures prices over time (1985)The behaviour of futures pric…Statistical mechanics of nonlinear nonequilibrium financial markets (1984)Statistical mechanics of nonl…Memory in commodity futures contracts (1984)Memory in commodity futures c…The semi-strong form efficiency of the London Metal Exchange (1983)The semi-strong form efficien…Tests of the Random Walk Hypothesis Against a Price-Trend Hypothesis (1982)Tests of the Random Walk Hypo…Issues in futures markets: A survey (1982)Issues in futures markets: A …Speculative Price: Economic Welfare and the Idiot of Chance (1981)Speculative Price: Economic W…A Semi‐Strong Form Evaluation of the Efficiency of the Hog Futures Market (1979)A Semi‐Strong Form Evaluation…The Behavior of Stock-Market Prices (1965)An Anatomy of Trading Strategies (1998)Using genetic algorithms to find technical trading rules (1999)The illusory nature of momentum profits (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Political Parties and Macroeconomic Policy (1977)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Seasonal integration and cointegration (1990)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Generalized autoregressive conditional heteroskedasticity (1986)Rational Expectations and the Theory of Price Movements (1961)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)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)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1971Time Series Analysis Forecasting and Control1,792 cited
  • 1971A Treatise on Money1,728 cited
  • 1966Filter Rules and Stock-Market Trading832 cited
  • 1953The Analysis of Economic Time-Series-Part I: Prices831 cited
  • 1961Price Movements in Speculative Markets : Trends or Random Walks645 cited
  • 1958Futures Trading and the Storage of Cotton and Wheat553 cited
  • 1966Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models440 cited
  • 1970COMMODITY FUTURES: TRENDS OR RANDOM WALKS?176 cited
  • 1972Rational Expectations and the Term Structure of Interest Rates128 cited
  • 1972INTEREST RATES ON MONETARY ASSETS AND COMMODITY PRICE INDEX CHANGES

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89 cited

Cited by

  • 2007Consumer Food Safety Risk Perceptions and Attitudes: Impacts on Beef Consumption across Countries135 cited
  • 1999Commodity futures markets: a survey112 cited
  • 1982Issues in futures markets: A survey111 cited
  • 1984Memory in commodity futures contracts101 cited
  • 1997The value of public information in commodity futures markets101 cited
  • 1979A Semi‐Strong Form Evaluation of the Efficiency of the Hog Futures Market89 cited
  • 2015Combining momentum with reversal in commodity futures84 cited
  • 1992Evidence of chaos in commodity futures prices81 cited
  • 1981Speculative Price: Economic Welfare and the Idiot of Chance76 cited
  • 1984Statistical mechanics of nonlinear nonequilibrium financial markets68 cited
  • 1982Tests of the Random Walk Hypothesis Against a Price-Trend Hypothesis64 cited
  • 1991The soybean complex spread: An examination of market efficiency from the viewpoint of a production process59 cited
  • 2003Robust estimation of the optimal hedge ratio57 cited
  • 1985The behaviour of futures prices over time48 cited
  • 2016Commodities momentum: A behavioral perspective43 cited
  • 1983The semi-strong form efficiency of the London Metal Exchange42 cited