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Looking for Evidence of Speculative Stockholding in Commodity Markets

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  • Ng, S.

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File URL: http://hdl.handle.net/1866/2119
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Bibliographic Info

Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9514.

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Length: 23 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:mtl:montde:9514

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Postal: CP 6128, Succ. Centre-Ville, Montréal, Québec, H3C 3J7
Phone: (514) 343-6540
Fax: (514) 343-5831
Web page: http://www.sceco.umontreal.ca
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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  2. Williams,Jeffrey C. & Wright,Brian D., 1991. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521326162.
  3. Newbery, David M G & Stiglitz, Joseph E, 1982. "Optimal Commodity Stock-piling Rules," Oxford Economic Papers, Oxford University Press, vol. 34(3), pages 403-27, November.
  4. Gourieroux Christian & Monfort Alain, 1991. "Qualitative threshold arch models," CEPREMAP Working Papers (Couverture Orange) 9109, CEPREMAP.
  5. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
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Cited by:
  1. Pesaran, M.H. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cahiers de recherche 9530, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators," Journal of Econometrics, Elsevier, vol. 96(2), pages 231-266, June.
  3. Cesar Revoredo, 2000. "On The Solution Of The Dynamic Rational Expectations Commodity Storage Model In The Presence Of Stockholding By Speculators And Processors," Computing in Economics and Finance 2000 42, Society for Computational Economics.
  4. Peterson, Hikaru Hanawa & Tomek, William G., 2003. "How Much Of Commodity Price Behavior Can A Rational Expectations Storage Model Explain?," Staff Papers 30712, Kansas State University, Department of Agricultural Economics.
  5. Yu-Shan Wang & Chung-Gee Lin & Shih-Chieh Shih, 2011. "The dynamic relationship between agricultural futures and agriculture index in China," China Agricultural Economic Review, Emerald Group Publishing, vol. 3(3), pages 369-382, September.
  6. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  7. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
  8. Tomek, William G. & Peterson, Hikaru Hanawa, 2000. "Risk Management in Agricultural Markets: A Survey," Staff Papers 121140, Cornell University, Department of Applied Economics and Management.

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