Determinants of endogenous price risk in corn and wheat futures markets

作者: Barry K. Goodwin , Randy Schnepf

DOI: 10.1002/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F

关键词: Market conditionsAutoregressive conditional heteroskedasticityFutures contractFinancial economicsFutures marketEconometricsEconomicsAutoregressive modelPrice riskHeteroscedasticity

摘要: … prices tend to be associated with higher levels of price variability. Streeter and Tomek (1992) argued that price … liquidity or result in large price adjustments, price volatility may increase, …

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