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Price limits as an explanation of thin‐tailedness in pork bellies futures prices

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  • Seung‐Ryong Yang
  • B. Wade Brorsen

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  • Seung‐Ryong Yang & B. Wade Brorsen, 1995. "Price limits as an explanation of thin‐tailedness in pork bellies futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(1), pages 45-59, February.
    • Handle: RePEc:wly:jfutmk:v:15:y:1995:i:1:p:45-59
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    Cited by:

    1. Chou, Pin-Huang, 1997. "A Gibbs sampling approach to the estimation of linear regression models under daily price limits," Pacific-Basin Finance Journal, Elsevier, vol. 5(1), pages 39-62, February.
    2. Purnendu Nath, 2005. "Are Price Limits Always Bad?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(3), pages 281-313, December.
    3. Anthony D. Hall & Paul Kofman & Ron Guido, 1998. "Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits," Research Paper Series 3, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Shen, Chung-Hua & Wang, Lee-Rong, 1998. "Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 251-273, August.
    5. Chou, Pin-Huang & Chou, Robin K. & Ko, Kuan-Cheng & Chao, Chun-Yi, 2013. "What affects the cool-off duration under price limits?," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 256-278.
    6. Chou, Pin-Huang, 1999. "Modeling daily price limits," International Review of Financial Analysis, Elsevier, vol. 8(3), pages 283-301, March.
    7. Dark, Jonathan, 2012. "Will tighter futures price limits decrease hedge effectiveness?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2717-2728.
    8. Rucker, Randal R. & Thurman, Walter N. & Yoder, Jonathan K., 1999. "An Economic Analysis Of The Determinants Of Lumber Futures Price Movements," 1999 Annual meeting, August 8-11, Nashville, TN 21706, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    9. Tamir Levy & Joseph Yagil, 2006. "An Empirical Comparison of Price‐Limit Models," International Review of Finance, International Review of Finance Ltd., vol. 6(3‐4), pages 157-176, September.
    10. Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013. "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 141-148.

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