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Variability in soybean futures prices: An integrated framework

Citations

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Cited by:

  1. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
  2. Martin T. Bohl & Martin Stefan, 2020. "Return dynamics during periods of high speculation in a thinly traded commodity market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 145-159, January.
  3. Aaron Smith, 2005. "Partially overlapping time series: a new model for volatility dynamics in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 405-422.
  4. Liu, 2014. "Do futures prices exhibit maturity effect? A nonparametric revisit," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 813-825, March.
  5. Algieri, Bernardina & Leccadito, Arturo, 2019. "Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 40-54.
  6. Karol Szafranek, 2015. "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," EcoMod2015 8554, EcoMod.
  7. Fan, John Hua & Mo, Di & Zhang, Tingxi, 2022. "The “necessary evil” in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
  8. Bozic, Marin, 2011. "Three essays in commodity futures and options price performance," Faculty and Alumni Dissertations 160678, University of Minnesota, Department of Applied Economics.
  9. Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria, 2013. "Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation," Energy: Resources and Markets 151372, Fondazione Eni Enrico Mattei (FEEM).
  10. Bohl, Martin T. & Siklos, Pierre L. & Wellenreuther, Claudia, 2018. "Speculative activity and returns volatility of Chinese agricultural commodity futures," Journal of Asian Economics, Elsevier, vol. 54(C), pages 69-91.
  11. Yao, Wei, 2025. "The US Quantitative Easing Monetary Policy and Commodities’ Prices," Other publications TiSEM 185d14d3-9dc2-4276-82ec-e, Tilburg University, School of Economics and Management.
  12. Evans, Kevin J. & Streeter, Deborah H. & Hudson, Michael A., 1992. "An Integrated Approach to Modeling Price Volatility in the Live Cattle Futures Market," Staff Papers 121352, Cornell University, Department of Applied Economics and Management.
  13. Bozic, Marin & Fortenbery, T. Randall, 2012. "Price Discovery, Volatility Spillovers and Adequacy of Speculation," 2012 Conference, April 16-17, 2012, St. Louis, Missouri 285784, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  14. Mr. Shaun K. Roache, 2010. "What Explains the Rise in Food Price Volatility?," IMF Working Papers 2010/129, International Monetary Fund.
  15. Du, Xiaodong & Dong, Fengxia, 2014. "Heterogeneous Responses to Market Information and The Impact on Price Volatility and Trading Volume: The Case of Class III Milk Futures," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169769, Agricultural and Applied Economics Association.
  16. Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018. "Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures," CAMA Working Papers 2018-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  17. Marcella Nicolini & Matteo Manera & Ilaria Vignati, 2013. "Detecting speculation in volatility of commodities futures markets," EcoMod2013 5125, EcoMod.
  18. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series qt1n04g31b, Center for International Economics, UC Santa Cruz.
  19. Hikaru Hanawa Peterson & William G. Tomek, 2005. "How much of commodity price behavior can a rational expectations storage model explain?," Agricultural Economics, International Association of Agricultural Economists, vol. 33(3), pages 289-303, November.
  20. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
  21. Aaron Smith, 2005. "Partially overlapping time series: a new model for volatility dynamics in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 405-422, March.
  22. Xiaodong Du & Fengxia Dong, 2016. "Responses to market information and the impact on price volatility and trading volume: the case of Class III milk futures," Empirical Economics, Springer, vol. 50(2), pages 661-678, March.
  23. Aliaga Lordemann, Javier & Mora-García, Claudio & Mulder, Nanno, 2021. "Speculation and price volatility in the coffee market," Documentos de Proyectos 46923, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  24. Lordkipanidze, Nasibrola & Tomek, William, 2014. "Pricing of Options with STochastic Volatilities: Application to Agricultural Commodity Contracts," Staff Papers 189185, Cornell University, Department of Applied Economics and Management.
  25. Martin T. Bohl & Martin Stefan, 2018. "Return Dynamics During Periods of High Speculation in a Thinly-Traded Commodity Market," CQE Working Papers 7418, Center for Quantitative Economics (CQE), University of Muenster.
  26. Williams, J., 2013. "Wheat and corn price skewness and volatility: Risk management implications for farmers and end users," Australasian Agribusiness Review, University of Melbourne, Department of Agriculture and Food Systems, vol. 21, pages 1-20.
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