Volkenand, Steffen; Filler, Günther; Odening, Martin - In: Risks : open access journal 8 (2020) 3/75, pp. 1-17
The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable...