Intraday Liquidity Spillovers in Commodity Futures Markets

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

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 - Apr 2020
Event	NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management - St. Louis, United States Duration: 20 Apr 2020 → 21 Apr 2020

Conference

Conference	NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management
Country/Territory	United States
City	St. Louis
Period	20/04/20 → 21/04/20

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

Cite this

@conference{4de46c52a02b429ebf2ee9484ecfcc9f,

title = "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); NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management ; Conference date: 20-04-2020 Through 21-04-2020",

year = "2020",

month = apr,

language = "English",

}

TY - CONF

T1 - 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 - 2020/4

Y1 - 2020/4

KW - Liquidity spillovers

KW - limit order book

KW - FUTURES MARKETS

KW - COMMODITY FUTURES

KW - multivariate har models

M3 - Paper

T2 - NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management

Y2 - 20 April 2020 through 21 April 2020

ER -