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Price Discovery in the United States Ethanol Markets: A Dynamic Time Warping Approach

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  • Miljkovic, Dragan
  • Vatsa, Puneet

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  • Miljkovic, Dragan & Vatsa, Puneet, 2026. "Price Discovery in the United States Ethanol Markets: A Dynamic Time Warping Approach," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 0(Preprint), February.
    • Handle: RePEc:ags:jlaare:376276
    DOI: 10.22004/ag.econ.376276
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    File URL: https://ageconsearch.umn.edu/record/376276/files/Miljkovic_preprint.pdf
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    References listed on IDEAS

    as
    1. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    2. Giorgino, Toni, 2009. "Computing and Visualizing Dynamic Time Warping Alignments in R: The dtw Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 31(i07).
    3. Newes, Emily & Clark, Christopher M. & Vimmerstedt, Laura & Peterson, Steve & Burkholder, Dallas & Korotney, David & Inman, Daniel, 2022. "Ethanol production in the United States: The roles of policy, price, and demand," Energy Policy, Elsevier, vol. 161(C).
    4. de Jong, Johan & Sonnemans, Joep & Tuinstra, Jan, 2022. "The effect of futures markets on the stability of commodity prices," Journal of Economic Behavior & Organization, Elsevier, vol. 198(C), pages 176-211.
    5. Vatsa, Puneet & Miljkovic, Tatjana & Miljkovic, Dragan, 2024. "Price discovery redux—Analyzing energy spot and futures prices using a dynamic programming approach," Energy Economics, Elsevier, vol. 140(C).
    6. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    7. Param Silvapulle & Imad A. Moosa, 1999. "The relationship between spot and futures prices: Evidence from the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(2), pages 175-193, April.
    8. Miljkovic, Dragan & Vatsa, Puneet, 2023. "On the linkages between energy and agricultural commodity prices: A dynamic time warping analysis," International Review of Financial Analysis, Elsevier, vol. 90(C).
    9. Garbade, Kenneth D & Silber, William L, 1983. "Price Movements and Price Discovery in Futures and Cash Markets," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 289-297, May.
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