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Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets
16 references·0 citing·44 second hop
Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets (2020)Measuring price discovery between nearby …Market Microstructure Invariance: Empirical Hypotheses (2016)Market Microstructure Invaria…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…What do price discovery metrics really measure? (2013)What do price discovery metri…Financialization and Structural Change in Commodity Futures Markets (2012)Financialization and Structur…A structural analysis of price discovery measures (2009)A structural analysis of pric…Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Microstructure Noise, Realize…How is macro news transmitted to exchange rates? 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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 1983Price Movements and Price Discovery in Futures and Cash Markets641 cited
  • 2008Microstructure Noise, Realized Variance, and Optimal Sampling598 cited
  • 2002Price discovery and common factor models546 cited
  • 2008How is macro news transmitted to exchange rates?369 cited
  • 1948Theory of the Inverse Carrying Charge in Futures Markets327 cited
  • 2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks305 cited
  • 2009A structural analysis of price discovery measures258 cited
  • 2001Asset storability and price discovery in commodity futures markets: A new look224 cited
  • 2016Market Microstructure Invariance: Empirical Hypotheses219 cited
  • 2012Financialization and Structural Change in Commodity Futures Markets218 cited
  • 1970Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles

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197 cited
  • 2013What do price discovery metrics really measure?185 cited
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