What is it about?
How does price discovery transition from nearby contracts to deferred contracts in the (storable) corn and (non-storable) livestock markets.
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Why is it important?
We show which contracts drive price discovery and how closely price discovery follows volume during the roll period.
Read the Original
This page is a summary of: Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets, Agricultural Economics, October 2020, Wiley, DOI: 10.1111/agec.12594.
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