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 - Apr 2020
EventNCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management - St. Louis, United States
Duration: 20 Apr 202021 Apr 2020

Conference

ConferenceNCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management
CountryUnited States
CitySt. Louis
Period20/04/2021/04/20

JEL classifications

  • g13 - "Contingent Pricing; Futures Pricing; option pricing"
  • 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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