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econ.EM2025
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…
econ.EM2017★ 1 cited
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.…