Analyzing Intraday Liquidity Spillovers in Commodity Futures Markets

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

Research output: Contribution to conferencePaperAcademic

Original languageEnglish
Publication statusPublished - 2019
Event2019 International Agricultural Trade Research Consortium (IATRC) Annual Meeting - Washington DC, United States
Duration: 8 Dec 201910 Dec 2019

Conference

Conference2019 International Agricultural Trade Research Consortium (IATRC) Annual Meeting
CountryUnited States
CityWashington DC
Period8/12/1910/12/19

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

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