Measuring Liquidity Costs in Agricultural Futures Markets
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Other versions of this item:
- Julieta Frank & Philip Garcia, 2011. "Measuring the cost of liquidity in agricultural futures markets: Conventional and Bayesian approaches," Agricultural Economics, International Association of Agricultural Economists, vol. 42, pages 131-140, November.
- Frank, Julieta & Garcia, Philip, 2006. "Estimating Liquidity Costs in Agricultural Futures Markets using Bayesian Methods," 2006 Annual meeting, July 23-26, Long Beach, CA 21331, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
References listed on IDEAS
- Ferguson, Michael F & Mann, Steven C, 2001. "Execution Costs and Their Intraday Variation in Futures Markets," The Journal of Business, University of Chicago Press, vol. 74(1), pages 125-160, January.
- B. Wade Brorsen & Darren W. Buck & Stephen R. Koontz, 1998. "Hedging hard red winter wheat: Kansas City versus Chicago," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(4), pages 449-466, June.
- Choi, J. Y. & Salandro, Dan & Shastri, Kuldeep, 1988. "On the Estimation of Bid-Ask Spreads: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(02), pages 219-230, June.
- Thompson, S. & Waller, M.L., 1988. "Determinants Of Liquidity Costs In Commodity Furures Markets," Papers 172, Columbia - Center for Futures Markets.
- Thompson, Sarahelen R. & Eales, James S. & Seibold, David, 1993.
"Comparison Of Liquidity Costs Between The Kansas City And Chicago Wheat Futures Contracts,"
Journal of Agricultural and Resource Economics,
Western Agricultural Economics Association, vol. 18(02), December.
- Thompson, Sarahelen & Eales, James S. & Seibold, David, 1991. "Comparison of Liquidity Costs Between the Kansas City and Chicago Wheat Futures Contracts," Staff Paper Series 232522, University of Alberta, Department of Resource Economics and Environmental Sociology.
- Thompson, Sarahelen R. & Waller, Mark L., 1987. "The Execution Cost of Trading in Commodity Futures Markets," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02.
- Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Frank, Julieta & Garcia, Philip, 2008. "Market Depth in Lean Hog and Live Cattle Futures Markets," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37613, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
More about this item
Keywordsliquidity costs; bid-ask spread; Bayesian estimation; Gibbs sampler;
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