Asset storability and price discovery in commodity futures markets: A new look
By Jian Yang, David A. Bessler, D. Leatham. 2001
129 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ed8f5b13cfd1c7051193a63e48fa48c438b266ed
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Jeffrey A. Frankel
- Raul Ibarra
- Michael S. Haigh
- M. Hernandez
- Jian Yang
- Danilo R. Trupkin
- D. Leatham
- M. Goldstein
In Finance
- Jeffrey A. Frankel
- Raul Ibarra
- Michael S. Haigh
- M. Hernandez
- Jian Yang
- Danilo R. Trupkin
- D. Leatham
- M. Goldstein
Citations in the corpus
- Price Discovery, Causality and Forecasting in the Freight Futures Market (2003, unknown): “In line with the findings of this paper, Yang, Bessler, and Leatham (2001) find that the “storability” of the underlying asset does not affect whether spot and futures prices are cointegrated.”
- Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets (2008, unknown): “This establishes a cointegrated system of futures and spot prices while the lagged basis serves as an error correction term (see, for example, Kroner and Sultan (1993), Ng and Pirrong (1994), Yang et al. (2001), and Lien and Yang (2006)).”
- The Effect of Monetary Policy on Real Commodity Prices (2006, background): “Yang, Bessler, and Leatham (2001) review the literature.”
- Short-run price forecast performance of individual and composite models for 496 corn cash markets (2017, unknown): “J. Leatham,Asset storability and price discovery in commodity futures markets: A new look, J. Futures Markets 21 (2001), pp. 279–300.”
- How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets (2014, background): “Studies providing evidence that spot prices move toward futures prices in agricultural markets include Garbade and Silver (1983), Crain and Lee (1996), Yang, Bessler, and Leatham (2001), and Hernandez and Torero (2010). dom), and Asia (China, Japan).”
- Agricultural liberalization policy and commodity price volatility: a GARCH application (2001, background): “In contrast, oats and corn, which did not have an increase in price volatility after the FAIR Act, were found to have cointegrated cash and futures prices during the same sample period (Yang et al., 2001).”