Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference64 articles.
1. What’s driving food prices?;Abbott;Farm Found. Issue Rep.,2008
2. A theory of intraday patterns: volume and price variability;Admati;Rev. Financ. Stud.,1988
3. Return volatility and trading volume: an information flow interpretation of stochastic volatility;Andersen;J. Finance,1996
4. Volatility transmission in agricultural futures markets;Beckmann;Econ. Model.,2014
5. An empirical examination of information, differences of opinion, and trading activity;Bessembinder;J. Financ. Econ.,1996
Cited by 15 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities;Equilibrium. Quarterly Journal of Economics and Economic Policy;2023-09-30
2. Which liquidity indicator is more informative to market volatility? Spectrum analysis of China’s base metal futures market;The North American Journal of Economics and Finance;2023-09
3. Matrix autoregressive models: generalization and Bayesian estimation;Studies in Nonlinear Dynamics & Econometrics;2023-07-04
4. Return–volume nexus in financial markets: A survey of research;Research in International Business and Finance;2023-04
5. Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security;Agriculture;2022-11-10
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3