Modelling and measuring price discovery in commodity markets

DOI10.1016/J.JECONOM.2010.03.013MaRDI QIDQ736559zbMATH OpenOpenAlexFDO

Authors D. Kharzeev

Publication date 4 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/15910

zbMATH Keywords

cointegrationpermanent-transitory decompositionprice discoveryconvenience yieldfutures pricescommodity marketsbackwardationcontango

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Commodity spot and futures prices under supply, demand, and financial trading: single input-output model
• Commodity price modelling that matches current observables: a new approach
• Stochastic modeling for commodity prices and valuation of commodity derivatives under stochastic convenience yields and seasonality.
• Commodity derivatives pricing with cointegration and stochastic covariances
• COINTEGRATION AND SETTLEMENT OF COMMODITY FUTURES CONTRACTS

Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Modelling and measuring price discovery in commodity markets
• The cointegrated VAR model: Methodology and applications.

Cited in

(22)

• The Post-Crisis Insight into Nickel Pricing on the London Metal Exchange
• Price discovery, causality and forecasting in the freight futures market
• Panel data measures of price discovery
• Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
• Component structures of agricultural commodity futures traded on the Tokyo grain exchange
• Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities
• Modelling and measuring price discovery in commodity markets
• Understanding price discovery in interconnected markets: generalized Langevin process approach and simulation
• An alternative method to estimate parameters in modelling the behaviour of commodity prices
• Commodity spot and futures prices under supply, demand, and financial trading: single input-output model
• Corrigendum to ``How well does the weighted price contribution measure price discovery?
• Copper price discovery on COMEX, 2006--2015
• An analysis of price discovery between Bitcoin futures and spot markets
• Price discovery in the Texas cash cattle market
• Beyond pure hype: news sentiment and its role in the BTC and ETH futures market
• The price discovery model based on waveform similarity of sequence with data statistics
• The price leadership share: a new measure of price discovery in financial markets
• Causal structure among US corn futures and regional cash prices in the time and frequency domain
• Model uncertainty in commodity markets
• Testing for mild explosivity and bubbles in LME non-ferrous metals prices
• Modeling price formation in a multi-commodity market -- a graph-theoretical decomposition approach to complexity reduction
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

This page was built for publication: Modelling and measuring price discovery in commodity markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q736559)