market's price. …

price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The …-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the … find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we …

agricultural commodities and crude oil. Price and volatility transmission effects between EU and World butter prices, as well as … (VAR) models are applied to capture price transmission effects between these markets. These are combined with a … multivariate GARCH model to account for potential volatility transmission. Results indicate strong price and volatility …