| bibtype |
J -
Journal Article
|
| ARLID |
0420811 |
| utime |
20240103203420.3 |
| mtime |
20131218235959.9 |
| WOS |
000333778400007 |
| SCOPUS |
84890847491 |
| DOI |
10.1016/j.eneco.2013.12.001 |
| title
(primary) (eng) |
Commodity futures and market efficiency |
| specification |
| page_count |
7 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0250426 |
| ISSN |
0140-9883 |
| title
|
Energy Economics |
| volume_id |
42 |
| volume |
1 (2014) |
| page_num |
50-57 |
| publisher |
|
|
| keyword |
commodities |
| keyword |
efficiency |
| keyword |
entropy |
| keyword |
long-term memory |
| keyword |
fractal dimension |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101230 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP402/11/0948 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0284442 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| abstract
(eng) |
We analyze the market efficiency of 25 commodity futures across various groups – metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat and coffee. On the other end of the ranking, we detect live cattle and feeder cattle. The efficiency is also found to be characteristic for specific groups of commodities – energy commodities being the most efficient and the other agricultural commodities (formed mainly of livestock) the least efficient groups. We also discuss contributions of the long-term memory, fractal dimension and approximate entropy to the total inefficiency. Last but not least, we come across the nonstandard relationship between the fractal dimension and Hurst exponent. For the analyzed dataset, the relationship between these two is positive meaning that local persistence (trending) is connected to global anti-persistence. |
| reportyear |
2015 |
| RIV |
AH |
| num_of_auth |
2 |
| mrcbC52 |
4 A 4a 20231122135945.1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0227928 |
| cooperation |
| ARLID |
cav_un_auth*0295067 |
| institution |
UK |
| name |
Univerzita Karlova v Praze |
| country |
CZ |
| mrcbC63-f |
Praha 1 |
|
| mrcbT16-e |
ECONOMICS |
| mrcbT16-j |
1.146 |
| mrcbT16-s |
2.850 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
68.788 |
| mrcbT16-C |
92.342 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1 |
| arlyear |
2014 |
| mrcbTft |
\nSoubory v repozitáři: kristoufek-0420811.pdf |
| mrcbU14 |
84890847491 SCOPUS |
| mrcbU34 |
000333778400007 WOS |
| mrcbU63 |
cav_un_epca*0250426 Energy Economics 0140-9883 1873-6181 Roč. 42 č. 1 2014 50 57 Elsevier |
|