Similar Search Results - EconBiz

Identifying informed traders in futures markets

Fishe, Raymond P. H.; Smith, Aaron D. - In: Journal of financial markets 15 (2012) 3, pp. 329-359

Persistent link: https://www.econbiz.de/10009611817

Identifying Informed Traders in Futures Markets

Fishe, Raymond P. H. - 2011

We use daily positions of futures market participants to identify informed traders. These data cover the period from 2000 to mid-2009 and contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap between these two...

Persistent link: https://www.econbiz.de/10013132616

Futures prices in supply analysis : are instrumental variables necessary?

Hendricks, Nathan P.; Janzen, Joseph P.; Smith, Aaron D. - In: American journal of agricultural economics 97 (2015) 1, pp. 22-39

Persistent link: https://www.econbiz.de/10011292823

Partially overlapping time series : a new model for volatility dynamics in commodity futures

Smith, Aaron D. - In: Journal of applied econometrics 20 (2005) 3, pp. 405-422

Persistent link: https://www.econbiz.de/10002807215

Stochastic permanent breaks

Engle, Robert F.; Smith, Aaron D. - In: The review of economics and statistics 81 (1999) 4, pp. 553-574

Persistent link: https://www.econbiz.de/10001437341

The nonlinear multidimensional relationship between stock returns and the macroeconomy

Chen, Pian; Smith, Aaron D. - In: Applied economics 45 (2013) 34/36, pp. 4985-4999

Persistent link: https://www.econbiz.de/10010225854

Markov-switiching model selection using Kullback-Leibler divergence

Smith, Aaron D.; Naik, Prasad A.; Tsai, Chih-Ling - In: Journal of econometrics 134 (2006) 2, pp. 553-577

Persistent link: https://www.econbiz.de/10003374342

Partially overlapping time series : a new model for volatility dynamics in commodity futures

Smith, Aaron D. (contributor) - 2004

Persistent link: https://www.econbiz.de/10003729960

Markov-switching model selection using Kulklback-Leibler divergence

Smith, Aaron D. (contributor); Naik, Prasad A. (contributor) - 2005

Persistent link: https://www.econbiz.de/10003729998

A time series paradox : unit root tests perform poorly when data are cointegrated

Reed, W. Robert; Smith, Aaron D. - In: Economics letters 151 (2017), pp. 71-74

Persistent link: https://www.econbiz.de/10011742136

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