SPECTRAL ANALYSIS OF THE THEORY OF ANTICIPATORY PRICES
作者:
Robert G. Chambers,
Michael W. Woolverton,
期刊:
Journal of Agricultural Economics
(WILEY Available online 1982)
卷期:
Volume 33,
issue 1
页码: 71-81
ISSN:0021-857X
年代: 1982
DOI:10.1111/j.1477-9552.1982.tb00713.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
The paper investigates the intertemporal relationship between cash and futures price changes using the techniques of spectral analysis. Daily data for the wheat, corn and soybean markets are analysed to determine if and how cash and futures prices move together. On a daily basis wheat and corn cash and futures prices move together; soybeans cash and futures prices do not move together on a daily basis.
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