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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Detalhes bibliográficos

Principais autores:	Steffen Volkenand, Günther Filler, Martin Odening
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2020-07-01
coleção:	Risks
Assuntos:	agricultural commodity futures price discovery market reflexivity Hawkes process
Acesso em linha:	https://www.mdpi.com/2227-9091/8/3/75
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