Does China's iron ore futures market have price discovery function? : analysis based on VECM and State-space perspective
Year of publication: |
2019
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Authors: | Ge, Yongbo ; Cao, Tingting ; Jiang, Ruchuan ; Liu, Peide ; Xie, Hengxin |
Published in: |
Journal of business economics and management. - Vilnius : VTGU Publ. House "Technika", ISSN 2029-4433, ZDB-ID 2400520-4. - Vol. 20.2019, 6, p. 1083-1101
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Subject: | Price discovery | Iron ore futures | VECM | State-space model | Kalman filter | Dalian Commodity Exchange | China | Zustandsraummodell | State space model | Kointegration | Cointegration | Eisenerz | Iron ore | Warenbörse | Commodity exchange | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | Börsenkurs | Share price | Derivat | Derivative |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3846/jbem.2019.10604 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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