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Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection
Xu, Xiaojie - Agricultural and Applied Economics Association - AAEA - 2014
Using daily data from 182 spatially separated U.S. cash markets for the years 2006-2011, I investigate price discovery for corn. With a large number of cash markets available, I take into account explicitly the issue of market selection, which has been neglected in previous work. I find that...
Persistent link: https://www.econbiz.de/10011068966
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Causality and Price Discovery in U.S. Corn Markets: An Application of Error Correction Modeling and Directed Acyclic Graphs
Xu, Xiaojie - Agricultural and Applied Economics Association - AAEA - 2014
This study investigates dynamic relationships among U.S. corn cash prices for the years 2006-2011. With daily data from 182 spatially separated markets spreading across 7 states, Iowa (IA), Illinois (IL), Indiana (IN), Ohio (OH), Minnesota (MN), Nebraska (NE), and Kansas (KS), we apply an error...
Persistent link: https://www.econbiz.de/10011068978
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Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets
Srinivasan, P.; Ibrahim, P. - In: International Journal of Economic Sciences and Applied … 5 (2012) 3, pp. 65-80
of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the …
Persistent link: https://www.econbiz.de/10011310237
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Sustainability of Public Debt in Germany – Historical Considerations and Time Series Evidence
Burret, Heiko T.; Feld, Lars P.; Köhler, Ekkehard A. - In: Jahrbücher für Nationalökonomie und Statistik 233 (2013) 3, pp. 291-335
cointegration and the estimation of Vector Autoregression (VAR) and Vector Error Correction Models (VECM). While we cannot reject …
Persistent link: https://www.econbiz.de/10014609446
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Financial liberalisation in India and a new test of the complementarity hypothesis
Pentecost, E J; Moore, T - 2006
correction models (VECM). From this robust test we find that for the Indian economy over the sample period 1951-1999 money and …
Persistent link: https://www.econbiz.de/10009465499
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The associations between stock prices, inflation rates, interest rates are still persistent: Empirical evidence from stock duration model
Eldomiaty, Tarek Ibrahim; Saeed, Yasmeen; Hammam, Rasha; … - In: Journal of Economics, Finance and Administrative Science 25 (2020) 49, pp. 149-161
Purpose - This paper aims to examine the effect of both inflation rate and interest rate on stock prices using quarterly data on non-financial firms listed in DJIA30 and NASDAQ100 for the period 1999-2016. The stock duration model is used to measure the sensitivity in variations in inflation...
Persistent link: https://www.econbiz.de/10013192174
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On cointegration and cryptocurrency dynamics
Keilbar, Georg; Zhang, Yanfen - In: Digital Finance 3 (2021) 1, pp. 1-23
the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM …) framework. To enable analysis in a dynamic setting, we propose the COINtensity VECM, a nonlinear VECM specification accounting …
Persistent link: https://www.econbiz.de/10014501321
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Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial Innovation 3 (2017) 1, pp. 1-24
Background: The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns of market benchmark indices of the respective...
Persistent link: https://www.econbiz.de/10011808239
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On Cointegration and Cryptocurrency Dynamics
Keilbar, Georg; Zhang, Yanfen - 2020
the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM …) framework. To enable analysis in a dynamic setting, we propose the COINtensity VECM, a nonlinear VECM specification accounting …
Persistent link: https://www.econbiz.de/10012433256
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Modelling mortality with common stochastic long-run trends
Arnold-Gaille, Séverine; Sherris, Michael - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 4, pp. 595-621
Persistent link: https://www.econbiz.de/10009503506