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Publikováno v:
Journal of Futures Markets 42 (2022) 7
Journal of Futures Markets, 42(7), 1189-1211
Journal of Futures Markets, 42(7), 1189-1211. John Wiley & Sons Inc.
Journal of Futures Markets, 42(7), 1189-1211
Journal of Futures Markets, 42(7), 1189-1211. John Wiley & Sons Inc.
We examine persistence and cross-market liquidity spillovers in the Chicago Mercantile Exchange soybean complex futures markets. A multidimensional liquidity measure is derived from the limit-order-book, and a Vector Heterogeneous Autoregressive mode