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Cointegration: Some results on U.S. cattle prices

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  • David A. Bessler
  • Ted Covey

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  • David A. Bessler & Ted Covey, 1991. "Cointegration: Some results on U.S. cattle prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(4), pages 461-474, August.
    • Handle: RePEc:wly:jfutmk:v:11:y:1991:i:4:p:461-474
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    Cited by:

    1. Zapata, T. Randall Fortenbery & Armstrong, Delroy, 2005. "Price Discovery in the World Sugar Futures and Cash Markets: Implications for the Domincan Republic," Staff Paper Series 469, University of Wisconsin, Agricultural and Applied Economics.
    2. Guney, Selin, 2015. "An evaluation of price forecasts of the cattle market under structural changes," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205109, Agricultural and Applied Economics Association.
    3. Armstrong, Delroy & Zapata, Hector O. & Fortenbery, T. Randall, 2003. "Price Discovery In The Futures And Cash Market For Sugar," 2003 Annual Meeting, February 1-5, 2003, Mobile, Alabama 35239, Southern Agricultural Economics Association.
    4. Randall Fortenbery, 2004. "Developed speculation and underdeveloped markets--the role of futures trading on export prices in less developed countries," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 31(4), pages 451-471, December.
    5. Joshua G. Maples & B. Wade Brorsen, 2022. "Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(2), pages 139-152, June.
    6. P. Geoffrey Allen & Robert Fildes, 2005. "Levels, Differences and ECMs – Principles for Improved Econometric Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 881-904, December.
    7. Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019. "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, vol. 77(C), pages 92-112.
    8. Shashi Gupta & Himanshu Choudhary & D. R. Agarwal, 2018. "An Empirical Analysis of Market Efficiency and Price Discovery in Indian Commodity Market," Global Business Review, International Management Institute, vol. 19(3), pages 771-789, June.
    9. Minho Kim & Andrew C. Szakmary & Thomas V. Schwarz, 1999. "Trading costs and price discovery across stock index futures and cash markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(4), pages 475-498, June.
    10. G. Geoffrey Booth & Paul Brockman & Yiuman Tse, 1998. "The relationship between US and Canadian wheat futures," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 73-80.
    11. Hector O. Zapata & T. Randall Fortenbery, 1996. "Stochastic Interest Rates and Price Discovery in Selected Commodity Markets," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 18(4), pages 643-654.
    12. Dahlgran, Roger A., 2000. "An Examination Of Futures Price Determination Through The Lens Of Market Integration," 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia 36334, Western Agricultural Economics Association.
    13. Bozic, Marin & Fortenbery, T., 2015. "Price Discovery, Volatility Spillovers and Adequacy of Speculation when Spot Prices are Stationary: The Case of U.S. Dairy Markets," 2015 Conference, August 9-14, 2015, Milan, Italy 211369, International Association of Agricultural Economists.
    14. Ken Urai, 2006. "Social Recognition and Economic Equilibrium," Discussion Papers in Economics and Business 06-29, Osaka University, Graduate School of Economics.
    15. Schroeder, Ted C. & Tonsor, Glynn T. & Coffey, Brian K., 2019. "Commodity futures with thinly traded cash markets: The case of live cattle," Journal of Commodity Markets, Elsevier, vol. 15(C), pages 1-1.
    16. Bozic, Marin, 2011. "Three essays in commodity futures and options price performance," Faculty and Alumni Dissertations 160678, University of Minnesota, Department of Applied Economics.
    17. Hyun Seok Kim & B. Wade Brorsen, 2012. "Can real option values explain apparent storage at a loss?," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2081-2090, June.
    18. Florkowski, Wojciech J. & Lai, Yue, 1997. "Cointegration Between Prices of Pecans and Other Edible Nuts: Forecasting and Implications," 1997 Annual Meeting, July 13-16, 1997, Reno\ Sparks, Nevada 35870, Western Agricultural Economics Association.
    19. Devadoss, Stephen, 1994. "Cointegration Results Of Farm Incomes And Production Costs In U.S. Agriculture," A.E. Research Series 305121, University of Idaho, Department of Agricultural Economics and Rural Sociology.
    20. Yoon, Byung-Sam & Brorsen, B. Wade, 2000. "Rollover Hedging," 2000 Conference, April 17-18 2000, Chicago, Illinois 18938, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    21. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 23-42, March.
    22. Kalok Chan & Yiuman Tse & Michael Williams, 2011. "The Relationship between Commodity Prices and Currency Exchange Rates: Evidence from the Futures Markets," NBER Chapters, in: Commodity Prices and Markets, pages 47-71, National Bureau of Economic Research, Inc.
    23. Joakim Westerlund & Paresh Narayan, 2013. "Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1024-1045, November.
    24. Xuedong Wu & Jeffrey H. Dorfman & Berna Karali, 2018. "The impact of data frequency on market efficiency tests of commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 696-714, June.
    25. Yiuman Tse, 2010. "The Relationship between Commodity Prices and Currency Exchange Rates: Evidence from the Futures Markets," Working Papers 0005, College of Business, University of Texas at San Antonio.

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