Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting

M Liu, CC Lee - Energy Economics, 2021 - Elsevier
The launch of the China's Shanghai International Energy Exchange (INE) oil futures market
in 2018 has shed new light on the role of China in international crude oil market …

A selected review of agricultural commodity futures and options markets

P Garcia, RM Leuthold - European review of agricultural …, 2004 - academic.oup.com
This paper provides a selected review of the research literature on commodity futures and
options markets, focusing primarily on empirical studies. The topics featured include the …

Forty years of the Journal of Futures Markets: A bibliometric overview

HK Baker, S Kumar, N Pandey - Journal of Futures Markets, 2021 - Wiley Online Library
This study uses bibliometrics to present a retrospective on the Journal of Futures Markets
(JFM) on its 40th anniversary. The Journal's annual number of publications and citations …

Corn cash price forecasting with neural networks

X Xu, Y Zhang - Computers and Electronics in Agriculture, 2021 - Elsevier
We explore the forecasting issue in a data set of daily corn cash prices from nearly 500
markets across sixteen states: North Dakota, Iowa, Minnesota, Illinois, Indiana, Ohio …

The effect of monetary policy on real commodity prices

JA Frankel - Asset prices and monetary policy, 2008 - degruyter.com
Commodity prices are back, with a vengeance. In the 1970s, macroeconomic discussions
were dominated by the oil price shocks and other rises in agricultural and mineral products …

[HTML][HTML] An integrated vector error correction and directed acyclic graph method for investigating contemporaneous causalities

X Xu, Y Zhang - Decision Analytics Journal, 2023 - Elsevier
This study introduces an integrated vector error correction and directed acyclic graph
method for investigating contemporaneous causalities with application to regional scrap …

Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China

J Yang, Z Yang, Y Zhou - Journal of Futures Markets, 2012 - Wiley Online Library
Using high‐frequency data, this study investigates intraday price discovery and volatility
transmission between the Chinese stock index and the newly established stock index …

Network analysis of housing price comovements of a hundred Chinese cities

X Xu, Y Zhang - National Institute Economic Review, 2023 - cambridge.org
Housing price comovements are an important issue in economics. This study focuses on
monthly housing prices of 99 major cities in China for the years 2010–2019 by using …

Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico

M Zhong, AF Darrat, R Otero - Journal of Banking & Finance, 2004 - Elsevier
This paper investigates the hypotheses that the recently established Mexican stock index
futures market effectively serves the price discovery function, and that the introduction of …

Price discovery in bitcoin spot or futures?

DG Baur, T Dimpfl - Journal of Futures Markets, 2019 - Wiley Online Library
Abstract In December 2017, both the Chicago Board Options Exchange and the Chicago
Mercantile Exchange introduced futures contracts on bitcoin. We investigate to what extent …