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Price transmission across commodity markets: physical to futures
Mbara, Gilbert - 2020
Persistent link: https://www.econbiz.de/10012196856
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Cointegration and US regional gasoline prices : testing market efficiency from the stationarity of price proportions
Hunter, John; Tabaghdehi, Seyedeh Asieh - 2013
Persistent link: https://www.econbiz.de/10009731971
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Estimating and comparing market efficiency frontiers
Mu, Yali - 2021
relationships (threshold cointegration) as well as in error correction (threshold autoregression; threshold ECMs; non …
Persistent link: https://www.econbiz.de/10013342200
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Commodity option pricing efficiency before black scholes merton
Chambers, David - 2019
Persistent link: https://www.econbiz.de/10012194325
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Two essays on derivatives
Demirer, Rıza - 2003
Persistent link: https://www.econbiz.de/10003385157
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Gold and oil futures markets : are markets efficient?
Narayan, Paresh Kumar; Narayan, Seema; Zheng, Xinwei - 2010
Persistent link: https://www.econbiz.de/10008665179
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Fractional cointegration of voting and non-voting shares
Dittmann, Ingolf - 1998
Persistent link: https://www.econbiz.de/10000681350
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Semi-strong informational efficiency in the Polish foreign exchange market
Goczek, Łukasz - 2015
market. In order to test for market efficiency a cointegration analysis is used. The main argument builds on the semistrong … the article is verified using Unit Root tests and Johansen Cointegration Test on the pair of EURPLN and USDPLN exchange …
Persistent link: https://www.econbiz.de/10012002550
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The behaviour of betting and currency markets on the night of the EU referendum
Auld, Tom; Linton, Oliver - 2018
We study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results. We employ a Bayesian updating methodology to...
Persistent link: https://www.econbiz.de/10011775074
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Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares
Breitung, Jörg; Wulff, Christian - 1999
Persistent link: https://www.econbiz.de/10001413057