Analyzing Intraday Liquidity Spillovers in Commodity Futures Markets

Joost Pennings; Koos Gardebroek; Andres Trujillo-Barrera; Thom de Boer

Analyzing Intraday Liquidity Spillovers in Commodity Futures Markets

Joost Pennings, Koos Gardebroek, Andres Trujillo-Barrera, Thom de Boer

Research output: Contribution to conference › Paper › Academic

Original language	English
Publication status	Published - 2019
Event	2019 International Agricultural Trade Research Consortium (IATRC) Annual Meeting - Washington DC, United States Duration: 8 Dec 2019 → 10 Dec 2019

Conference

Conference	2019 International Agricultural Trade Research Consortium (IATRC) Annual Meeting
Country/Territory	United States
City	Washington DC
Period	8/12/19 → 10/12/19

JEL classifications

q13 - "Agricultural Markets and Marketing; Cooperatives; Agribusiness"
c22 - "Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models"
q14 - Agricultural Finance

Keywords

liquidity spillovers
limit order book
FUTURES MARKETS
COMMODITY FUTURES
multivariate har models

Access to Document

https://drive.google.com/file/d/1lHypNVCq8wQwFLr7sBHqe3e5k8dSs_Hj/view

Cite this

@conference{3e91f3ec19e648e987727cc4474e189e,

title = "Analyzing Intraday Liquidity Spillovers in Commodity Futures Markets",

keywords = "liquidity spillovers, limit order book, FUTURES MARKETS, COMMODITY FUTURES, multivariate har models",

author = "Joost Pennings and Koos Gardebroek and Andres Trujillo-Barrera and {de Boer}, Thom",

note = "Data source: co-author(s); 2019 International Agricultural Trade Research Consortium (IATRC) Annual Meeting ; Conference date: 08-12-2019 Through 10-12-2019",

year = "2019",

language = "English",

}

TY - CONF

T1 - Analyzing Intraday Liquidity Spillovers in Commodity Futures Markets

AU - Pennings, Joost

AU - Gardebroek, Koos

AU - Trujillo-Barrera, Andres

AU - de Boer, Thom

N1 - Data source: co-author(s)

PY - 2019

Y1 - 2019

KW - liquidity spillovers

KW - limit order book

KW - FUTURES MARKETS

KW - COMMODITY FUTURES

KW - multivariate har models

M3 - Paper

T2 - 2019 International Agricultural Trade Research Consortium (IATRC) Annual Meeting

Y2 - 8 December 2019 through 10 December 2019

ER -