Sarafrazi, S.(Soodabeh Sarafrazi, S.)
price ethanol market soybean sugar future crude oil commodity relationship gasoline return period -.01 .00 crude table trend response result interest impact subperiod lrbobf 3 futures prices increase model intercept cointegrating exogeneity recovery rbob gasoline energy equilibrium nexus recovery subperiod paper energy-grain price nexus 0.000000 variable cointegration discovery lwtif lcrnf significance lwtif 3 statistic economic ethanol production letlf lsugf -.02 lsoyf lrbobf effect equation production variance contract adjustment correlation equilibrium relationship futures markets 1.000000 corn futures market sample recession block price discovery function vector shock level factor energy-grain recovery period interest effects loading factors vec models grain country decomposition
1 Most Recent Publications
The Dynamics of Energy-Grain Prices with Open Interest
Hammoudeh, S.M. Sarafrazi, S. Chang, C.L. McAleer, M.J.