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Extreme Correlation Between Daily Basis Returns of Local Corn Markets in North Carolina

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  • Zheng, Yixing
  • Ramsey, Austin F.

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  • Zheng, Yixing & Ramsey, Austin F., 2022. "Extreme Correlation Between Daily Basis Returns of Local Corn Markets in North Carolina," 2024 Annual Meeting, July 28-30, New Orleans, LA 322373, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea22:322373
    DOI: 10.22004/ag.econ.322373
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      • Stigler, George J. & Sherwin, Robert A., 1983. "The Extent of the Market," Working Papers 31, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    4. Jittima Singvejsakul & Chukiat Chaiboonsri & Songsak Sriboonchitta, 2021. "The Optimization of Bayesian Extreme Value: Empirical Evidence for the Agricultural Commodities in the US," Economies, MDPI, vol. 9(1), pages 1-10, March.
    5. Jon Vilasuso & David Katz, 2000. "Estimates of the likelihood of extreme returns in international stock markets," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(1), pages 119-130.
    6. Selin Guney & Barry K Goodwin & Andrés Riquelme, 2019. "Semi-Parametric Generalized Additive Vector Autoregressive Models of Spatial Basis Dynamics," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(2), pages 541-562.
    7. Bekiros, Stelios D. & Georgoutsos, Dimitris A., 2008. "The extreme-value dependence of Asia-Pacific equity markets," Journal of Multinational Financial Management, Elsevier, vol. 18(3), pages 197-208, July.
    8. Marco Rocco, 2014. "Extreme Value Theory In Finance: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 28(1), pages 82-108, February.
    9. Peter S. Sephton, 2003. "Spatial Market Arbitrage and Threshold Cointegration," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(4), pages 1041-1046.
    10. Torun Fretheim & Glenn Kristiansen, 2015. "Commodity market risk from 1995 to 2013: an extreme value theory approach," Applied Economics, Taylor & Francis Journals, vol. 47(26), pages 2768-2782, June.
    11. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," The Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
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