Assessing the Current Situation of the World Wheat Market Leadership: Using the Semi-Parametric Approach

被引：4

作者：

Ahmed, Osama ^{[1
,2
]}

机构：

[1] Leibniz Inst Agr Dev Transit Econ IAMO, Dept Agr Markets, Theodor Lieser Str 2, D-06120 Halle, Saale, Germany

[2] Cairo Univ, Dept Agr Econ, Fac Agr, Giza 12613, Egypt

来源：

MATHEMATICS | 2021年 / 9卷 / 02期

关键词：

price discovery; wheat market leadership; error correction model-GARCH; cointegration analysis; dependence analysis; semi-parametric copula; PRICE DISCOVERY; TIME-SERIES; FUTURES; COINTEGRATION; HYPOTHESIS; COMPONENTS; SECURITY; CORN;

D O I：

10.3390/math9020115

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper examines the world wheat market leadership using price discovery occurring in wheat futures markets of the United States (U.S.) and Europe. An error correction model (ECM) generalized autoregressive conditional heteroskedasticity (GARCH), and semi-parametric dynamic copula methods are used for this purpose. The results indicate a positive link between U.S. and Europe price discovery which is stronger, fluctuating less after August 2010 because of a drought occurring in the Black Sea region, and then lessens, fluctuating more after 2015 with the changing wheat trade map. Furthermore, after 2015, wheat market leadership moved from the U.S. to the European market, meaning price discovery is primarily located by the Marche a Terme International de France (MATIF) futures market.

引用

页码：1 / 22

页数：21

共 50 条

[31] A new approach to load forecasting: Using semi-parametric method and neural networks
Ukil, Abhisek
Jordaan, Jaco
NEURAL INFORMATION PROCESSING, PT 2, PROCEEDINGS, 2006, 4233 : 974 - 983
[32] MODELING STOCK INDEX RETURNS USING SEMI-PARAMETRIC APPROACH WITH MULTIPLICATIVE ADJUSTMENT
Wang, Kaiping
ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2014, 17 (04): : 65 - 75
[33] Modeling of Daily Rainfall Extremes, Using a Semi-Parametric Pareto Tail Approach
Nadia Shahraki
Safar Marofi
Sadegh Ghazanfari
Water Resources Management, 2019, 33 : 493 - 508
[34] Modeling of Daily Rainfall Extremes, Using a Semi-Parametric Pareto Tail Approach
Shahraki, Nadia
Marofi, Safar
Ghazanfari, Sadegh
WATER RESOURCES MANAGEMENT, 2019, 33 (02) : 493 - 508
[35] Stock Market Forecasting Model Based on Semi-parametric Smoothing Regression
Wang Ling-zhi
Qin Fa-jin
PROCEEDINGS OF THE 31ST CHINESE CONTROL CONFERENCE, 2012, : 7220 - 7223
[36] Density estimation using non-parametric and semi-parametric mixtures
Wang, Yong
Chee, Chew-Seng
STATISTICAL MODELLING, 2012, 12 (01) : 67 - 92
[37] Robust Bayesian synthetic likelihood via a semi-parametric approach
Ziwen An
David J. Nott
Christopher Drovandi
Statistics and Computing, 2020, 30 : 543 - 557
[38] Using semi-parametric methods in an analysis of earnings mobility
Ulrick, Shawn W.
ECONOMETRICS JOURNAL, 2008, 11 (03): : 478 - 498
[39] A Copula Based Semi-parametric Approach for Footstep Detection Using Seismic Sensor Networks
Sundaresan, Ashok
Subramanian, Arun
Varshney, Pramod K.
Damarla, Thyagaraju
MULTISENSOR, MULTISOURCE INFORMATION FUSION: ARCHITECTURES, ALGORITHMS, AND APPLICATIONS 2010, 2010, 7710
[40] Soil analysis using the semi-parametric NAA technique
Zamboni, C. B.
Silveira, M. A. G.
Medina, N. H.
VII LATIN AMERICAN SYMPOSIUM ON NUCLEAR PHYSICS AND APPLICATIONS, 2007, 947 : 493 - +

← 1 2 3 4 5 →