Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis

Ling-Yun He; Shu-Peng Chen

doi:10.1016/j.physa.2010.09.018

Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2010.09.018 ◽

2011 ◽

Vol 390 (2) ◽

pp. 297-308 ◽

Cited By ~ 93

Author(s):

Ling-Yun He ◽

Shu-Peng Chen

Keyword(s):

Correlation Analysis ◽

Futures Markets ◽

Cross Correlation ◽

Commodity Futures ◽

Agricultural Commodity ◽

Cross Correlation Analysis ◽

Commodity Futures Markets

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Cointegration, Linear and Nonlinear Causality among Futures with Different Maturities: Evidence from Indian Agricultural Commodity Futures Markets

SSRN Electronic Journal ◽

10.2139/ssrn.2131653 ◽

2012 ◽

Author(s):

Tarun Kumar Soni

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Agricultural Commodity ◽

Commodity Futures Markets ◽

Linear And Nonlinear

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A New Look at the Efficiency & Volatility of Indian Agricultural Commodity Futures Markets

SSRN Electronic Journal ◽

10.2139/ssrn.2975269 ◽

2017 ◽

Author(s):

Velmurugan Palanipappa Shanmugan ◽

Paul W Armah

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Agricultural Commodity ◽

Commodity Futures Markets ◽

New Look

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Fundamental Surprises, Market Structure, and Price Formation in Agricultural Commodity Futures Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3378223 ◽

2019 ◽

Author(s):

Xiaodong Du ◽

Stephen A Kane

Keyword(s):

Market Structure ◽

Futures Markets ◽

Commodity Futures ◽

Price Formation ◽

Agricultural Commodity ◽

Commodity Futures Markets

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Multifractal analysis of China's agricultural commodity futures markets

Energy Procedia ◽

10.1016/j.egypro.2011.03.330 ◽

2011 ◽

Vol 5 ◽

pp. 1920-1926 ◽

Cited By ~ 10

Author(s):

Zhihui Li ◽

Xinsheng Lu

Keyword(s):

Multifractal Analysis ◽

Futures Markets ◽

Commodity Futures ◽

Agricultural Commodity ◽

Commodity Futures Markets

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Efficiency in agricultural commodity futures markets in India

Agricultural Finance Review ◽

10.1108/00021461111152555 ◽

2011 ◽

Vol 71 (2) ◽

pp. 162-178 ◽

Cited By ~ 26

Author(s):

Jabir Ali ◽

Kriti Bardhan Gupta

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Agricultural Commodity ◽

Commodity Futures Markets

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Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets

Energy Economics ◽

10.1016/j.eneco.2016.12.011 ◽

2017 ◽

Vol 62 ◽

pp. 19-32 ◽

Cited By ~ 107

Author(s):

Sang Hoon Kang ◽

Ron McIver ◽

Seong-Min Yoon

Keyword(s):

Crude Oil ◽

Precious Metal ◽

Futures Markets ◽

Spillover Effects ◽

Commodity Futures ◽

Agricultural Commodity ◽

Commodity Futures Markets

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The extreme risk spillovers between the US and China’s agricultural commodity futures markets

Journal of Physics Conference Series ◽

10.1088/1742-6596/1324/1/012085 ◽

2019 ◽

Vol 1324 ◽

pp. 012085

Author(s):

Qiujing Zhu ◽

Roengchai Tansuchat

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Agricultural Commodity ◽

Extreme Risk ◽

Commodity Futures Markets ◽

The Us

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Multifractal detrended cross-correlation analysis and frequency dynamics of connectedness for energy futures markets

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2019.121194 ◽

2019 ◽

Vol 527 ◽

pp. 121194 ◽

Cited By ~ 7

Author(s):

Bangcan Wang ◽

Yu Wei ◽

Yuhui Xing ◽

Wenjiao Ding

Keyword(s):

Correlation Analysis ◽

Futures Markets ◽

Cross Correlation ◽

Energy Futures ◽

Cross Correlation Analysis ◽

Energy Futures Markets

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Efficiency tests of agricultural commodity futures markets in China

Australian Journal of Agricultural and Resource Economics ◽

10.1111/j.1467-8489.2005.00283.x ◽

2005 ◽

Vol 49 (2) ◽

pp. 125-141 ◽

Cited By ~ 56

Author(s):

H. Holly Wang ◽

Bingfan Ke

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Agricultural Commodity ◽

Commodity Futures Markets

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Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets

Chaos Solitons & Fractals ◽

10.1016/j.chaos.2010.11.005 ◽

2011 ◽

Vol 44 (6) ◽

pp. 355-361 ◽

Cited By ~ 97

Author(s):

Ling-Yun He ◽

Shu-Peng Chen

Keyword(s):

Correlation Analysis ◽

Futures Markets ◽

Cross Correlation ◽

Cross Correlation Analysis ◽

Agricultural Futures

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