Duration dependence among agricultural futures with different maturities

Autor:	Marlene Kionka, Martin Odening, Guenther Filler, Steffen Volkenand
Rok vydání:	2019
Předmět:	Economics and Econometrics 050208 finance business.industry 05 social sciences Duration dependence Autoregressive model Agriculture 0502 economics and business Econometrics Forward curve Economics 050207 economics business Futures contract
Zdroj:	Applied Economics Letters. 27:150-155
ISSN:	1466-4291 1350-4851
DOI:	10.1080/13504851.2019.1610703
Popis:	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...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d7ac8937488970aa2aed8f731dc342a1 https://doi.org/10.1080/13504851.2019.1610703 Zobrazit plný text záznamu