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In this article we present theoretical considerations and empirical evidence that the short-run autoregressive behavior of commodity markets is not only ...
Mar 18, 2010 · Abstract. In this article we present theoretical considerations and empirical evidence that the short-run autoregressive behavior of.
Speculation and Nonlinear Price Dynamics in Commodity Futures Markets. C. Sigl-Grüb and D. Schiereck. Publications of Darmstadt Technical University ...
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Speculation and nonlinear price dynamics in commodity futures · futures markets. Published March 18, 2010 · Author(s). Christof Sigl-Grüb , Dirk Schiereck.
Irrespective of its sign, speculation is often regarded as a major cause of increasing price volatility, as well as price and volatility spill-overs from ...
Dec 14, 2023 · This paper examines the role of inventories in refiners' gasoline production and develops a structural model of the relationship between ...
This article studies how speculative activity affects informational efficiency of commodity futures markets.
We begin by addressing what is meant by “speculation,” and how it relates to investments in oil reserves, inventories, or derivatives (such as futures contracts) ...
We examine the interactions between commodity futures returns and five driving factors (financial speculation, exchange rate, stock market dynamics, ...
An inverse and nonlinear basis-inventory relation: Positive demand shocks and negative supply shocks lead to a drop in inventories, and result in an increase in ...