Similar Search Results

Fractional cointegration and price discovery in Canadian commodities

Xu, Ke; Stewart, Kenneth G.; Cao, Zeyang - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10014225743

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

In this paper we apply the recently developed fractionally cointegrated vector autoregressive (FCVAR) model to analyze price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The FCVAR model allows for long memory (fractional...

Persistent link: https://www.econbiz.de/10010381431

Price discovery in energy markets

Shrestha, Keshab - In: Energy economics 45 (2014), pp. 229-233

Persistent link: https://www.econbiz.de/10010505388

What role do futures markets play in Bitcoin pricing? : causality, cointegration and price discovery from a time-varying perspective?

Hu, Yang; Hou, Yang; Oxley, Les - In: International review of financial analysis 72 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012437354

Price discovery in a continuous-time setting

Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, … - In: Journal of financial econometrics 19 (2021) 5, pp. 985-1008

Persistent link: https://www.econbiz.de/10012799058

Price discovery and long-memory property : simulation and empirical evidence from the bitcoin market

Xu, Ke; Chen, Yu-Lun; Liu, Bo; Chen, Jian - In: The journal of futures markets 44 (2024) 4, pp. 605-618

Persistent link: https://www.econbiz.de/10014536658

Filtration enlargement-based time series forecast in view of insider trading

Bennett, Luke M.; Hu, Wei - In: Journal of economic surveys 37 (2023) 1, pp. 112-140

Persistent link: https://www.econbiz.de/10014287808

An econometric analysis of volatility discovery

Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106

Persistent link: https://www.econbiz.de/10015053535

Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets

Dhaene, Geert; Sercu, Piet; Wu, Jianbin - In: The journal of futures markets 42 (2022) 5, pp. 868-887

Persistent link: https://www.econbiz.de/10013187611

A new unique information share measure with applications on cross-listed Chinese banks

Li, Hong; Shi, Yanlin - In: Journal of banking & finance 128 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012821622