Metals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange
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- Barry A. Goss & S. Gulay Avsar, 2013. "Simultaneity, Forecasting and Profits in London Copper Futures," Australian Economic Papers, Wiley Blackwell, vol. 52(2), pages 79-96, June.
- Jonathan Dark, 2005. "A Critique of Minimum Variance Hedging," Accounting Research Journal, Emerald Group Publishing, vol. 18(1), pages 40-49, June.
- An-Sing Chen & James Wuh Lin, 2004. "Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1157-1167.
- Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
- Aristeidis G. Samitas, 2004. "Interrelationships of Secondary Equity Markets at Domestic and International Level," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 87-98.
- Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001.
"Power ARCH modelling of commodity futures data on the London Metal Exchange,"
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- McKenzie, M. & Michell, H. & Brooks, R.D. & Faff, R.W., 1998. "Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange," Papers 98-3, Melbourne - Centre in Finance.
- James Kung & Andrew Carverhill, 2005. "A cointegration study of the efficiency of the US Treasury STRIPS market," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 695-703.
- Baffes, John, 2009. "More on the energy / non-energy commodity price link," Policy Research Working Paper Series 4982, The World Bank.
- Alper Ozun & Erman Erbaykal, 2009. "Detecting risk transmission from futures to spot markets without data stationarity: Evidence from Turkey's markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 365-376, August.
- Richard Heaney, 1998. "A Test of the cost‐of‐carry relationship using the London Metal Exchange lead contract," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(2), pages 177-200, April.
- Clinton Watkins & Michael McAleer, 2006.
"Pricing of non-ferrous metals futures on the London Metal Exchange,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 16(12), pages 853-880.
- Clinton Watkins & Michael McAleer, 2003. "Pricing of Non-ferrous Metals Futures on the London Metal Exchange," CIRJE F-Series CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo.
- Heaney, Richard, 2002. "Does knowledge of the cost of carry model improve commodity futures price forecasting ability?: A case study using the London Metal Exchange lead contract," International Journal of Forecasting, Elsevier, vol. 18(1), pages 45-65.
- Bahman Angoshtari, 2016. "On the Market-Neutrality of Optimal Pairs-Trading Strategies," Papers 1608.08268, arXiv.org.
- Qian, Ying, 1990. "Do steel prices move together? : a cointegration test," Policy Research Working Paper Series 453, The World Bank.
- repec:gam:jijfss:v:6:y:2018:i:1:p:32-:d:136280 is not listed on IDEAS
- Watkins, Clinton & McAleer, Michael, 2002. "Cointegration analysis of metals futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(1), pages 207-221.
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