The time-varying relation between changes in oil prices and stock market returns is essential for companies, investors, regulators, and policy makers. For instance, CEOs of companies seeking to hedge against oil price changes may need to dynamically re-evaluate their hedging strategies against oil ...
Substitutions among vegetable oils could be reflected by the calculation of the cross-price elasticity. An extensive study [15] examined the cross-price elasticity between palm and soy oil, which resulted in a positive relation, indicating that an increase in the soy oil price could lead to a ...
Their article models the relation between the depth and spread but does not consider depth beyond the first level. In contrast, Ahn and Cheung (1999) examine the intraday temporal behavior of five-deep depth and best spread. They employ two measures of depth, namely the dollar depth at the ...