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Using high, low, open and closing prices to estimate the effects of cash settlement on futures prices
Chan, Leo Tak-hung; Lien, Da-hsiang Donald - In: International review of financial analysis 12 (2003) 1, pp. 35-47
Persistent link: https://www.econbiz.de/10001769951
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Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?
Root, Thomas H.; Lien, Da-hsiang Donald - In: International review of financial analysis 12 (2003) 2, pp. 117-133
Persistent link: https://www.econbiz.de/10001769973
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Downside risk for short long hedgers
Demirer, Rıza; Lien, Da-hsiang Donald - In: International review of economics & finance : IREF 12 (2003) 1, pp. 25-44
Persistent link: https://www.econbiz.de/10001770018
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Quasi-rational and Ex Ante price expectations in commodity supply models : an empirical analysis of the US broiler market
Holt, Matthew T.; McKenzie, Andrew M. - In: Journal of applied econometrics 18 (2003) 4, pp. 407-426
Persistent link: https://www.econbiz.de/10001779857
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The performance of event study approaches using daily commodity futures returns
McKenzie, Andrew M.; Thomsen, Michael R.; Dixon, Bruce L. - In: The journal of futures markets 24 (2004) 6, pp. 533-555
Persistent link: https://www.econbiz.de/10002059371
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Cash settlement and futures price volatility : evidence from options data
Chan, Leo H.; Lien, Da-hsiang Donald - In: Advances in quantitative analysis of finance and … 1 (2004), pp. 29-44
Persistent link: https://www.econbiz.de/10002225818
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Measuring the impacts of cash settlement : a stochastic volatility approach
Chan, Leo H.; Lien, Da-hsiang Donald - In: International review of economics & finance : IREF 11 (2002) 3, pp. 251-263
Persistent link: https://www.econbiz.de/10001719359
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Nonparametric tests of commodity futures market efficiency
McKenzie, Andrew M.; Djunaidi, Harjanto; Wailes, Eric J.; … - In: The southern business & economic journal 25 (2002) 3/4, pp. 163-173
Persistent link: https://www.econbiz.de/10002007982
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Managing price risk in volatile grain markets, issues and potential solutions
McKenzie, Andrew M.; Kunda, Eugene L. - In: Journal of agricultural and applied economics 41 (2009) 2, pp. 353-362
Persistent link: https://www.econbiz.de/10003889912
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Hedging effectiveness around US department of agriculture crop reports
McKenzie, Andrew M.; Singh, Navinderpal - In: Journal of agricultural and applied economics 43 (2011) 1, pp. 77-94
Persistent link: https://www.econbiz.de/10009405356