Intraday Liquidity Spillovers in Commodity Futures Markets

Subjects

Subjects :

multivariate har models
Liquidity spillovers
COMMODITY FUTURES
q14 - Agricultural Finance
g13 - "Contingent Pricing
Futures Pricing
option pricing"
c22 - "Single Equation Models
Single Variables: Time-Series Models
Dynamic Quantile Regressions
Dynamic Treatment Effect Models"
limit order book
FUTURES MARKETS

Details

Language :

English

Database :

OpenAIRE

Accession number :

edsair.dris...00893..ae5bec59e4d78e8149729874301c8f68