Chen, L.H.

future price ethanol market adjustment spread sugar commodity soybean futures prices threshold model futures price contract spot price shock result cointegration ethanol futures table ethanol futures price equilibrium opportunity futures contracts discovery speed price discovery european corn spot price risk relationship trading return grain chicago change spot prices ethanol futures contracts sugar spot bivariate paper signi ficant signi fitable opportunities statistic price discovery function capability trade estimate bio-fuel evidence trader energy chicago board group ender ethanol types bio-fuel ethanol types hypothesis york harbor ethanol ficant ethanol spot 1 value difference liquidity literature strategy futures markets futures market ecbot fitable method price pairs vec model corn futures 0.000000 equation e t 1 soybean spot york mercantile exchange