1 citations · 1 across the 4 of their papers we have counts for
4 papers
Implied ETF Carry Rates and the Limits of Arbitrage in Segmented Bitcoin Markets
Mindy L. Mallory
This paper estimates the carry embedded in listed IBIT options and compares it with the carry embedded in matched CME bitcoin futures. Put-call parity recovers an implied forward o…
High-Dimensional Spatial-Plus-Vertical Price Relationships and Price Transmission: A Machine Learning Approach
Mindy L. Mallory, Rundong Peng, Meilin Ma +1
Price transmission has been studied extensively in agricultural economics through the lens of spatial and vertical price relationships. Classical time series econometric techniques…
The Impact of Brazil on Global Grain Dynamics: A Study on Cross-Market Volatility Spillovers
Felipe Avileis, Mindy Mallory
Brazil rose as a global powerhouse producer of soybeans and corn over the past 15 years has fundamentally changed global markets in these commodities. This is arguably due to the d…
Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets
Zhepeng Hu, Mindy Mallory, Teresa Serra +1
Futures market contracts with varying maturities are traded concurrently and the speed at which they process information is of value in understanding the pricing discovery process.…