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Efficiency of commodity futures : a vector autoregression analysis

Canarella, Giorgio - In: The journal of futures markets 5 (1985) 1, pp. 57-76

Persistent link: https://www.econbiz.de/10001128573

Pricing commodity options when the underlying futures price exhibits time-varying volatility

Myers, Robert J. - In: American journal of agricultural economics 75 (1993) 1, pp. 121-130

Persistent link: https://www.econbiz.de/10001141432

An examination of cointegration relations between futures and local grain markets

Fortenbery, T. Randall - In: The journal of futures markets 13 (1993) 8, pp. 921-932

Persistent link: https://www.econbiz.de/10001158680

Hedging with forecasting : a state-space approach to modeling vector-valued time series

Vukina, Tomislav - In: The journal of futures markets 12 (1992) 3, pp. 307-327

Persistent link: https://www.econbiz.de/10001125673

Futures markets and marketing firms : the US soybean-processing industry

Lence, Sergio H. - In: American journal of agricultural economics 74 (1992) 3, pp. 716-725

Persistent link: https://www.econbiz.de/10001130658

Forecasting gold futures market volatility using macroeconomic variables in the United States

Fang, Libing; Yu, Honghai; Xiao, Wen - In: Economic modelling 72 (2018), pp. 249-259

Persistent link: https://www.econbiz.de/10012100333

Testing rationality in futures markets

Ma, Christopher K. - In: The journal of futures markets 10 (1990) 2, pp. 137-152

Persistent link: https://www.econbiz.de/10001128101

A sequential test methodology for detecting futures market disruptions with applications to futures margin management

Ackert, Lucy F.; Hunter, William Curt - 1990

Persistent link: https://www.econbiz.de/10000796604

A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures

Horváth, Lajos - 2019

We study forward curves formed from commodity futures prices listed on the Standard and Poor's-Goldman Sachs Commodities Index (S&P GSCI) using recently developed tools in functional time series analysis. Functional tests for stationarity and serial correlation suggest that log-differenced...

Persistent link: https://www.econbiz.de/10012898573

A functional time series analysis of forward curves derived from commodity futures

Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan - In: International journal of forecasting 36 (2020) 2, pp. 646-665

Persistent link: https://www.econbiz.de/10012415316

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