Testing for asymmetric cointegration of Italian agricultural commodities prices: Evidence from the futures-spot market relationship

The volatility of food prices still raises concerns among agricultural market players, increasing interest in the futures markets, thus calling for a better understanding of the connection between the futures and the Italian spot prices. This study uses symmetric and asymmetric vector error correcti...

Full description

Bibliographic Details

Published in:	Agricultural Economics (AGRICECON)
Main Authors:	Carlotta Penone, Samuele Trestini
Format:	Article
Language:	English
Published:	Czech Academy of Agricultural Sciences 2022-01-01
Subjects:	hedging price discovery price transmission threshold vector error correction model vector error correction model
Online Access:	https://agricecon.agriculturejournals.cz/artkey/age-202202-0002_testing-for-asymmetric-cointegration-of-italian-agricultural-commodities-prices-evidence-from-the-futures-spot.php