Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach
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DOI: 10.1016/j.ecosta.2019.05.002
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- Robert Czudaj, 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Chemnitz Economic Papers 030, Department of Economics, Chemnitz University of Technology, revised May 2019.
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More about this item
Keywords
Agricultural futures markets; Open interest; Time-varying Bayesian VAR; Trading volume; Volatility;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
Statistics
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