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Anna Szczepanska-Przekota
Mutual interactions between the agricultural commodities futures market and the spot market are some of the most important relationships that can be observed between the financial market and the real economy. The process of the flow of price impulses bet...
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Algirdas Justinas Staugaitis and Bernardas Vaznonis
Motivated by increased agricultural commodity price volatility and surges during the past decade, we investigated whether financial speculation is to blame. The aim of this paper is to build on prior research about to what extent and in which ways financ...
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Hülya Yilmaz,Bülent Ilhan
Pág. 26 - 38
This paper investigates the dynamic relationship between the stock market index and a set of macroeconomic variables in four emerging countries. The dependent variable measures monthly stock exchange points of respective markets from January 2010 to Marc...
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Markus Arlindo Monteiro, Bennie Grové and Nicolette Matthews
Grain marketing is complex because important decisions are made on the timing of sales and the quantities sold at every trading activity. The literature suggest various grain-hedging strategies, however these strategies are not adaptable to changing mark...
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Marek Kwas and Michal Rubaszek
The random walk, no-change forecast is a customary benchmark in the literature on forecasting commodity prices. We challenge this custom by examining whether alternative models are more suited for this purpose. Based on a literature review and the result...
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Julien Chevallier, Dominique Guégan and Stéphane Goutte
This paper focuses on forecasting the price of Bitcoin, motivated by its market growth and the recent interest of market participants and academics. We deploy six machine learning algorithms (e.g., Artificial Neural Network, Support Vector Machine, Rando...
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Congxin Wu, Xinyu Wang, Shan Luo, Jing Shan and Feng Wang
This article takes into account the form of mixed data as well as the peak and thick tail characteristics contained in the data characteristics, expands the GARCH-MIDAS (Generalized Autoregressive Conditional Heteroskedasticity-Mixed Data Sampling) model...
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Zhaojie Luo, Xiaojing Cai, Katsuyuki Tanaka, Tetsuya Takiguchi, Takuji Kinkyo and Shigeyuki Hamori
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Jaehwan Park
This paper employs Granger causality tests to analyze the role of speculators using weekly COTR (commitment of traders reports) data covering the period of August 2014 to July 2017. The paper presents statistically significant evidence that the position ...
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Fabio L. Mattos and Rodrigo Lanna Franco da Silveira
The purpose of this study is to analyze the impact of the growth of the Brazilian winter corn crop on the dynamics between domestic Brazilian prices and international prices as well as spot and futures prices in Brazil. Econometric time-series methods te...
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