Modelling and measuring price discovery in commodity markets

DOI10.1016/J.JECONOM.2010.03.013zbMATH Open1431.62611OpenAlexW3124463259MaRDI QIDQ736559FDOQ736559

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

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zbMATH Keywords

cointegrationpermanent-transitory decompositionprice discoveryconvenience yieldfutures pricescommodity marketsbackwardationcontango

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (17)

• Title not available (Why is that?)
• 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
• Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities
• Component structures of agricultural commodity futures traded on the Tokyo grain exchange
• Modelling and measuring price discovery in commodity markets
• An alternative method to estimate parameters in modelling the behaviour of commodity prices
• Corrigendum to ``How well does the weighted price contribution measure price discovery?
• Price discovery in the Texas cash cattle market
• An analysis of price discovery between Bitcoin futures and spot markets
• Causal structure among US corn futures and regional cash prices in the time and frequency domain
• The price leadership share: a new measure of price discovery in financial markets
• 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
• Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices
• Model Uncertainty in Commodity Markets

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