Modelling and measuring price discovery in commodity markets

DOI10.1016/J.JECONOM.2010.03.013zbMath1431.62611OpenAlexW3124463259MaRDI QIDQ736559

D. Kharzeev

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/15910

zbMATH Keywords

cointegrationfutures pricesprice discoverypermanent-transitory decompositionconvenience yieldcommodity marketsbackwardationcontango

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (10)

Unnamed Item ⋮ Causal structure among US corn futures and regional cash prices in the time and frequency domain ⋮ Model Uncertainty in Commodity Markets ⋮ Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices ⋮ The price leadership share: a new measure of price discovery in financial markets ⋮ Modelling and measuring price discovery in commodity markets ⋮ The Post-Crisis Insight into Nickel Pricing on the London Metal Exchange ⋮ An analysis of price discovery between Bitcoin futures and spot markets ⋮ Panel data measures of price discovery ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cites Work

• Modelling and measuring price discovery in commodity markets
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Unnamed Item

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