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The Fallacy of Nearby Contract Commodity Futures Price Analysis: Intramarket Futures Contracts are not Identically Distributed

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  • Barrett, Christopher B.
  • Li, Jau-Rong
  • Thilmany, Dawn D.

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  • Barrett, Christopher B. & Li, Jau-Rong & Thilmany, Dawn D., 1997. "The Fallacy of Nearby Contract Commodity Futures Price Analysis: Intramarket Futures Contracts are not Identically Distributed," 1997 Annual Meeting, July 13-16, 1997, Reno\ Sparks, Nevada 35873, Western Agricultural Economics Association.
    • Handle: RePEc:ags:waeare:35873
    DOI: 10.22004/ag.econ.35873
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    References listed on IDEAS

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    1. Tim Bollerslev, 1988. "On The Correlation Structure For The Generalized Autoregressive Conditional Heteroskedastic Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(2), pages 121-131, March.
    2. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399, January.
    3. Angus Deaton & Guy Laroque, 1992. "On the Behaviour of Commodity Prices," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 59(1), pages 1-23.
    4. Steven C. Blank, 1991. "“Chaos” in futures markets? A nonlinear dynamical analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(6), pages 711-728, December.
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