Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures
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DOI: 10.1016/j.jcomm.2017.10.001
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- Iuga, Iulia Cristina & Mudakkar, Syeda Rabab & Dragolea, Larisa Loredana, 2024. "Agricultural commodities market reaction to COVID-19," Research in International Business and Finance, Elsevier, vol. 69(C).
- Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic," Agriculture, MDPI, vol. 12(5), pages 1-26, April.
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More about this item
Keywords
Range based volatility; Wheat futures; Speculation;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
Statistics
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