Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility
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DOI: 10.1016/j.jcomm.2024.100382
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More about this item
Keywords
Price volatility; Market microstructure; Wheat; WASDE; Announcement effect;All these keywords.
JEL classification:
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- 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
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