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Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

Persistent link: https://www.econbiz.de/10010528976

New empirical evidence in support of the theory of price volatility of storable commodities under rational expectations in spot and futures markets

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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavalierea, Giuseppe; Ørregard Nielsen, Morten; … - 2013 - 12-2013

We propose bootstrap implementations of the asymptotic Wald, likelihood ratio and Lagrange multiplier tests for the order of integration of a fractionally integrated time series. Our main purpose in doing so is to develop tests which are robust to both conditional and unconditional...

Persistent link: https://www.econbiz.de/10009743847

Futures basis, inventory and commodity price volatility : an empirical analysis

Symeonidis, Lazaros; Prokopczuk, Marcel; Brooks, Chris; … - In: Economic modelling 29 (2012) 6, pp. 2651-2663

Persistent link: https://www.econbiz.de/10009673627

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2014

Persistent link: https://www.econbiz.de/10010394614

Monetary policy and price dynamics in a commodity futures market

Tai, Meng-Yi; Chao, Chi-Chur; Hu, Shih-Wen; Lai, Ching-chong - In: International review of economics & finance : IREF 29 (2014), pp. 372-379

Persistent link: https://www.econbiz.de/10010432345

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579

Persistent link: https://www.econbiz.de/10011499761

Internet, noise trading and commodity futures prices

Peri, Massimo; Vandone, Daniela; Baldi, Lucia - In: International review of economics & finance : IREF 33 (2014), pp. 82-89

Persistent link: https://www.econbiz.de/10010531284

Volatility of commodity futures prices and market-implied inflation expectations

Orłowski, Lucjan T. - In: Journal of international financial markets, … 51 (2017), pp. 133-141

Persistent link: https://www.econbiz.de/10011896296

Internet, noise trading and commodity prices

Peri, Massimo; Vandone, Daniela; Baldi, Lucia - 2012

Persistent link: https://www.econbiz.de/10011759934