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Trading volume, open interest, and price volatility on the LIFFE cocoa market

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Trends and volatility in agricultural commodity prices

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Bivariate FIGARCH and fractional cointegration

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Metals price volatility, 1972 - 95

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Has futures trading affected the volatility of aluminium transactions prices?

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Bivariate FIGARCH and fractional cointegration

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Non-ferrous metals price volatility : a fractionally integrated process?

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Speculation, hedging and volatility in the coffee market, 1993-96

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Has Futures Trading Affected the Volatility of Aluminium Transactions Prices?

Figuerola-Ferretti, Isabel; Gilbert, Christopher L. - 2002

We consider how aluminium transactions prices have been affected by the development of futures trading in aluminium. Using a series for transactions prices constructed from a trade journal, we establish that both this series and the exchange cash price may be regarded as error-ridden measures of...

Persistent link: https://www.econbiz.de/10014136199