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Time-varying information share and autoregressive loading factors : evidence from S&P 500 cash and E-mini futures markets

Hou, Yang; Li, Steven; Wen, Fenghua - In: Review of quantitative finance and accounting 57 (2021) 1, pp. 91-110

Persistent link: https://www.econbiz.de/10012549905

International black tea market integration and price discovery

Bessler, David A. (contributor) - 2003

In this thesis we study three basic issues related to international black tea markets: Are black tea markets integrated? Where is the price of black tea discovered? Are there leaders and followers in black tea markets? We use two statistical techniques as engines of analysis. First, we use time...

Persistent link: https://www.econbiz.de/10009465023

Price discovery in energy markets

Shrestha, Keshab - In: Energy economics 45 (2014), pp. 229-233

Persistent link: https://www.econbiz.de/10010505388

Price discovery in a continuous-time setting

Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, … - In: Journal of financial econometrics 19 (2021) 5, pp. 985-1008

Persistent link: https://www.econbiz.de/10012799058

Measuring price discovery in the European wheat market using the partial cointegration approach

Vollmer, Teresa; Herwartz, Helmut; Cramon-Taubadel, … - In: European review of agricultural economics 47 (2020) 3, pp. 1173-1200

Persistent link: https://www.econbiz.de/10012257957

Interest rate dynamics and volatility transmission in the European short term interest rate market

Shaw, Frances; Murphy, Finbarr; O'Brien, Fergal - In: Journal of economics and finance 40 (2016) 4, pp. 754-772

Persistent link: https://www.econbiz.de/10011659069

Filtration enlargement-based time series forecast in view of insider trading

Bennett, Luke M.; Hu, Wei - In: Journal of economic surveys 37 (2023) 1, pp. 112-140

Persistent link: https://www.econbiz.de/10014287808

An econometric analysis of volatility discovery

Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106

Persistent link: https://www.econbiz.de/10015053535

Price discovery and long-memory property : simulation and empirical evidence from the bitcoin market

Xu, Ke; Chen, Yu-Lun; Liu, Bo; Chen, Jian - In: The journal of futures markets 44 (2024) 4, pp. 605-618

Persistent link: https://www.econbiz.de/10014536658

Dynamic interactive cycles during the 2008 financial crisis

Neokosmidis, Ioannis M.; Polimenis, Vassilis - In: Modern economy 1 (2010) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10009306012

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