Time-Varying Information, Strategic Informed Trading, and Price Dynamics

2004 ◽  
Author(s):  
Ming Guo
Keyword(s):  
Informed Trading ◽  
Price Dynamics ◽  
Time Varying

scholarly journals Time-Varying Spot and Futures Oil Price Dynamics

2010 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Davide Ciferri ◽  
Alessandro Girardi
Keyword(s):  
Oil Price ◽  
Price Dynamics ◽  
Time Varying

scholarly journals Time-Varying Spot and Futures Oil Price Dynamics

2013 ◽  
Vol 61 (1) ◽  
pp. 78-97 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Davide Ciferri ◽  
Alessandro Girardi
Keyword(s):  
Oil Price ◽  
Price Dynamics ◽  
Time Varying

scholarly journals Impact of US Shale Gas on the Vertical and Horizontal Dynamics of Ethylene Price

Energies ◽  
2020 ◽  
Vol 13 (17) ◽  
pp. 4479
Author(s):  
Soohyeon Kim ◽  
Surim Oh
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Fossil Fuels ◽  
Structural Changes ◽  
The United States ◽  
Price Dynamics ◽  
Time Varying ◽  
Correction Model ◽  
Short Run ◽  
Petrochemical Industries

The rise of shale resources in the United States is changing the petrochemical industries. Ethylene, the first building block of petrochemical products, is becoming the first target to be hit by the shale boom, and its shifting price dynamics needs to be explored. This study analyzes the transition of ethylene prices from crude oil to natural gas (vertical price dynamics) and investigates widening gaps among regional ethylene prices (horizontal price dynamics). To do this, we detect structural changes in cointegrating relationships and derive time-varying cointegration equations. In addition, for the long- and short-run dynamics, this study established and estimated an error correction model (ECM), with controlling, time-varying cointegrations. This study develops econometric studies by applying time-varying cointegration to nonenergy uses of fossil fuels. Thereby, our results discover that the feedstock structure of US ethylene is moving from crude oil to natural gas and that the comovement of US and Japanese prices is getting intensified.

scholarly journals An Econometric Analysis of Price Dynamics in the Presence of a Price Floor: The Case of American Cheese

2005 ◽  
Vol 37 (1) ◽  
pp. 21-35 ◽  
Author(s):  
Jean-Paul Chavas ◽  
Kwansoo Kim
Keyword(s):  
Price Volatility ◽  
Econometric Analysis ◽  
Support Program ◽  
Price Dynamics ◽  
Time Varying ◽  
Price Determination ◽  
Price Support ◽  
Pricing Policy ◽  
Price Floor ◽  
The U.S

In this paper, we present an econometric analysis of the effects of a price floor on price dynamics and price volatility. A price floor (implemented as a part of government pricing policy) provides a censoring mechanism for price determination. We specify and estimate a dynamic Tobit model under time-varying volatility. The model is applied to analyze the effects of a price support program on price dynamics and price volatility in the U.S. American cheese market. The econometric analysis provides useful insights on price dynamics in the presence of a government-determined price floor.

scholarly journals Margin Rules, Informed Trading in Derivatives, and Price Dynamics

2003 ◽  
Author(s):  
Marti G. Subrahmanyam ◽  
Kose John ◽  
Apoorva Koticha ◽  
Ranga Narayanan
Keyword(s):  
Informed Trading ◽  
Price Dynamics

scholarly journals Time-Varying Spot and Futures Oil Price Dynamics

2010 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Davide Ciferri ◽  
Alessandro Girardi
Keyword(s):  
Oil Price ◽  
Price Dynamics ◽  
Time Varying
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