scholarly journals Time-Varying Arbitrage and Dynamic Price Discovery

2016 ◽  
Author(s):  
Remco C. J. Zwinkels ◽  
Bart Frijns
Keyword(s):  
Price Discovery ◽  
Time Varying ◽  
Dynamic Price

scholarly journals Time-varying arbitrage and dynamic price discovery

2018 ◽  
Vol 91 ◽  
pp. 485-502 ◽  
Author(s):  
Bart Frijns ◽  
Remco C.J. Zwinkels
Keyword(s):  
Price Discovery ◽  
Time Varying ◽  
Dynamic Price

Time varying price discovery of the New Third Board market in China: does the market-making system help?

2019 ◽  
Vol 51 (45) ◽  
pp. 4902-4919
Author(s):  
Gaoxiu Qiao ◽  
Pengfei Zhao ◽  
Weiping Li
Keyword(s):  
Price Discovery ◽  
Time Varying ◽  
Market Making

scholarly journals Dynamic price relationships and price discovery among cheese markets

2020 ◽  
pp. 1-13
Author(s):  
Hernan A. Tejeda ◽  
Man-Keun Kim
Keyword(s):  
Price Discovery ◽  
The United States ◽  
Relative Price ◽  
Cottage Cheese ◽  
Correction Model ◽  
Vector Error Correction ◽  
Dynamic Price ◽  
Vector Error ◽  
Price Relationship ◽  
Price Relationships

The United States (U.S.) cheese sector has been steadily growing throughout the years. Since 1980, U.S. consumers have doubled their annual consumption of cheese, currently at about 37.9 lbs. per capita in 2018 excluding cottage cheese. Cheese varieties are generally classified as American type (Cheddar, Monterey and others), Italian type (Mozzarella and others), and Other type (Swiss, Muenster and others) since they serve different markets. American cheese is consumed regularly in hamburgers, sandwiches and in similar settings. Italian cheese is typically consumed in pizzas, pasta and Italian cuisine. Despite the burgeoning growth in cheese demand, there has been no study addressing the dynamic price relationship among different varieties of cheese. This study investigates the price discovery process among cheese varieties: Cheddar, Mozzarella, Swiss, Muenster, and Monterey by using a vector error correction model and standard innovation accounting. Results indicate relative price interaction among different varieties of cheese, providing empirical evidence of some decouplment or separation among American (Cheddar and Monterey), Italian (Mozzarella), and Other type (Swiss). An exemption is Muenster which despite being classified as Other type of cheese responds to American’s Cheddar.

An analysis of time-varying commodity market price discovery

2018 ◽  
Vol 57 ◽  
pp. 122-133 ◽  
Author(s):  
Paresh Kumar Narayan ◽  
Susan Sunila Sharma
Keyword(s):  
Price Discovery ◽  
Market Price ◽  
Commodity Market ◽  
Time Varying
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