This study examines the long-run information role of open interest in futures markets. It is found that open interest of the futures markets for storable commodities shares the same long-run information as the futures prices, but not for the nonstorable futures markets. Furthermore, the futures...

A theoretical model of the law of one price which allows for seasonality in transaction costs and supply and demand conditions between markets is developed. Bivariate three-regime threshold vector error correction models are applied to natural gas markets to examine seasonality in threshold...

The Brier score and a covariance partition due to Yates are considered to study the probabilistic forecasts of a vector autoregression on stock market returns. Probabilistic forecasts from a model and data developed by Campbell (1991) are studied with ordinary least squares. Calibration measures...

This study investigates the relationship between consumer debt and aggregate economic activity based on time series methods and directed acyclic graphs (DAG). Quarterly US data, measured over the period 1980 to 2003, on consumer debt, gross domestic product (GDP), interest rates, housing starts,...

The paper considers univariate and multivariate models to forecast monthly conflict events in the Sudan over the out-of-sample period 2009 – 2012. The models used to generate these forecasts were based on a specification from a machine learning algorithm fit to 2000 – 2008 monthly data. The...

Price studies have been extensively investigated in agricultural economics literature. In the grain market, it seems that more information is available in terms of price behavior and relationships across markets. In the dairy market, on the other hand, price information is more limited. There...

Though recent literature uncovers linkages between commodity prices and conflict, the causal direction of the relationship remains ambiguous. We attempt to contribute in this strand of research by studying the dynamic relationship of commodity prices and the onsets of conflict events in Sudan....

<Para ID="Par1">The degree to which the law of one price holds (integration) along with determining each individual markets’ role in price discovery is examined for 11 major natural gas markets, six from the USA and five from Canada. Deregulation, technological advances, and trade agreements have opened the...</para>

Directed graphs and autoregressive conditional heteroskedastic error processes are used in the specification and estimation of an ocean grain rate equation. Results show voyage distance, ship size, contract terms, flag and season are important explainers of rates, as is ship tonnage contracted...