Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

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 reflexivity for both storable and non-storable commoditi...

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Үндсэн зохиолчид:	Steffen Volkenand, Günther Filler, Martin Odening
Формат:	Artigo
Хэл сонгох:	Inglês
Хэвлэсэн:	MDPI AG 2020-07-01
Цуврал:	Risks
Нөхцлүүд:	agricultural commodity futures price discovery market reflexivity Hawkes process
Онлайн хандалт:	https://www.mdpi.com/2227-9091/8/3/75
Шошгууд:	Шошго нэмэх Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!