The role of uncertainty on agricultural futures markets momentum trading and volatility

DOI10.1515/snde-2018-0054OpenAlexW2963658591WikidataQ127492397 ScholiaQ127492397MaRDI QIDQ2697086

Robert L. Czudaj

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0054

zbMATH Keywords

uncertaintyvolatilitymomentum tradingagricultural futures marketstime-varying Bayesian VAR

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• bvarsv
• WeightedPortTest

Cites Work

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• Conditional Heteroskedasticity in Asset Returns: A New Approach
• The Impact of Uncertainty Shocks
• Predictability of structural co-movement in commodity prices: the role of technical indicators
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
• New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Maximum Likelihood Estimation of Misspecified Models

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