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Empirical properties, information flow, and trading strategies of China's soybean crush spread

Liu, Qingfeng Wilson; Sono, Hui He - In: The journal of futures markets 36 (2016) 11, pp. 1057-1075

Persistent link: https://www.econbiz.de/10011569015

The volatility of returns from commodity futures : evidence from India

Mukherjee, Isita; Goswami, Bhaskar - In: Financial innovation : FIN 3 (2017) 15, pp. 1-23

Background: This paper examines the pattern of the volatility of the daily return of select commodity futures in India and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis. Methods: One commodity future from each group of futures is chosen for the...

Persistent link: https://www.econbiz.de/10011747647

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

An empirical examination of the relation between futures spreads volatility, volume, and open interest

Girma, Paul Berhanu; Mougoué, Mbodja - In: The journal of futures markets 22 (2002) 11, pp. 1083-11102

Persistent link: https://www.econbiz.de/10001713578

Modeling discontinuous periodic conditional volatility : evidence from the commodity futures market

Taylor, Nicholas - In: The journal of futures markets 24 (2004) 9, pp. 805-834

Persistent link: https://www.econbiz.de/10002145942

Jumping hedges : an examination of movements in copper spot and futures markets

Chan, Wing Hong; Young, Denise - In: The journal of futures markets 26 (2006) 2, pp. 169-188

Persistent link: https://www.econbiz.de/10003303876

Long memory models for daily and high frequency commodity futures returns

Baillie, Richard; Han, Young Wook; Myers, Robert J.; … - In: The journal of futures markets 27 (2007) 7, pp. 643-668

Persistent link: https://www.econbiz.de/10003493148

Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures

Luo, Jiawen; Zhang, Qun - In: The journal of futures markets 44 (2024) 2, pp. 151-217

Persistent link: https://www.econbiz.de/10014475455

Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes

Rezitis, Anthony N.; Andrikopoulos, Panagiotis; Daglis, … - In: The journal of futures markets 44 (2024) 3, pp. 451-483

Persistent link: https://www.econbiz.de/10014475504

Multivariate models of commodity futures markets : a dynamic copula approach

Chen, Sihong; Li, Qi; Wang, Qiaoyu; Zhang, Yu Yvette - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3037-3057

Persistent link: https://www.econbiz.de/10014329023