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Modelling and measuring price discovery in commodity markets · Study

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ArticleModelling and measuring price discovery in commodity markets

Isabel Figuerola–Ferretti2010

OA

Articlegreen2010

Modelling and measuring price discovery in commodity markets

Isabel Figuerola–Ferretti · Jesús Gonzalo

201 citations·0/0 files stored·Journal of Econometrics

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Market Dynamics and Volatility Financial Markets and Investment Strategies Economics of Agriculture and Food Markets

Abstract

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1985Evaluating Natural Resource Investments 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 1995One Security, Many Markets: Determining the Contributions to Price Discovery 1995Estimation of Common Long-Memory Components in Cointegrated Systems

Cited by

2018Contemporaneous and Granger causality among US corn cash and futures prices 2016The oil price crash in 2014/15: Was there a (negative) financial bubble?2009Futures Price Dynamics of CO2Emission Allowances:An Empirical Analysis of the Trial Period 2018Causal structure among US corn futures and regional cash prices in the time and frequency domain 2017Price discovery in agricultural commodity markets in the presence of futures speculation 2014The Market Microstructure of the European Climate Exchange 2011The influence of ETFs on the price discovery of gold, silver and oil 2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Details

Year2010

Typearticle

Published2010-03-15

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations201

Files0 public / 0

ShelfMarket Dynamics and Volatility

Identifiers

doi10.1016/j.jeconom.2010.03.013

openalex_workW3124463259

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