Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Steffen Volkenand"'
Publikováno v:
Risks, Vol 8, Iss 3, p 75 (2020)
The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflex
Externí odkaz:
https://doaj.org/article/e8ef63e71d014f2aae58d5f8860be372
Publikováno v:
Applied Economics Letters. 27:150-155
The purpose of this paper is to analyse the interdependence of price durations among agricultural futures contracts with different maturities. We apply an extended autoregressive conditional durati...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d7ac8937488970aa2aed8f731dc342a1
https://doi.org/10.1080/13504851.2019.1610703
https://doi.org/10.1080/13504851.2019.1610703
Publikováno v:
Risks
Volume 8
Issue 3
Risks, Vol 8, Iss 75, p 75 (2020)
Volume 8
Issue 3
Risks, Vol 8, Iss 75, p 75 (2020)
The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1e1fcca008af4d73ebb792817587e1a1
Publikováno v:
Agricultural Finance Review. 78:571-591
Purpose The purpose of this paper is to investigate and compare the impact of order imbalance on returns, liquidity and price volatility in agricultural futures markets on an intraday basis. The authors examine whether order imbalance is more powerfu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::802fa7a8ccac619cac59f7e2b493422a
https://doi.org/10.1108/afr-10-2017-0099
https://doi.org/10.1108/afr-10-2017-0099