- Ali J., & Gupta K. B., (2011). Efficiency in agricultural commodity futures market in India: Evidence from co- integration and causality test. Agricultural Finance Review, 71(2), 162–178.
Paper not yet in RePEc: Add citation now
- Arora M., & Chandar R., (2017). Price efficiency and volatility in agri-commodity market in India: An empirical investigation. Retrieved, 14 February 2018, from http://ijemr.in/wp-content/uploads/2018/01/Price-Discovery-Process-and-Volatility-Spillover-of-Chilli-spot-and-Futures-Prices-Evidence-from-National-Commodity-and-Derivative-Exchange-Ltd-NCDEX.pdf.
Paper not yet in RePEc: Add citation now
Berkowitz Z., & O’Brien J., (2002). How accurate are value at risk models at commercial banks? Journal of Finance, 57(3), 1093–1111.
Bollerslev T., (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
- Bose S., (2008). Commodity futures market in India: A study of trends in the national multi-commodity indices. Money and Finance, ICRA Bulletin, 3(3), 125–158.
Paper not yet in RePEc: Add citation now
Boudoukh J., , Richardson M., , Shen Y. J., , & Whitelaw R. F., (2007). Do asset price reflect fundamentals? Freshly squeezed evidence from the OJ market. Journal of Financial Economics, 83(2), 397–412.
- Chhajed I., & Mehta S., (2013). Market behavior and price discovery in Indian agriculture commodity market. International Journal of Scientific and Research Publications, 3(3), 1–4.
Paper not yet in RePEc: Add citation now
- Earl S. T., , Pinar M., , & Allen A. J., (1983). The futures market and price discovery in the textile industry. American Journal of Agricultural economics, 65(2), 308–310.
Paper not yet in RePEc: Add citation now
- Edward A. J., & Rao N. T. V., (2013). Price discovery process and volatility spillover of chili spot and futures prices: Evidence from National Commodity and Derivative Exchange Ltd (NCDEX). International Journal of Multidisciplinary Educational Research, 3(12), 1–23.
Paper not yet in RePEc: Add citation now
Fama E., (1970). Efficient capital market: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417.
Fantacci L., , Marcuzzo M. C., , & Sanfilippo A. E., (2010). Speculation in commodities: Keynes’ practical acquaintance with futures markets. Journal of the History of Economic Thought, 32(3), 397–418.
- Friedman M., (1953). Essays in positive economics. Chicago, IL: University of Chicago Press, pp. 157–203.
Paper not yet in RePEc: Add citation now
- Gaglianone W. P., , Lima L. R., , Linton O., , & Smith D. R., (2011). Evaluating value–at–risk models via quantile regression. Journal of Business and Economic Statistics, 29(5), 150–160.
Paper not yet in RePEc: Add citation now
Garbade K. D., & Silber W. L., (1983). Price movements and price discovery in futures and cash markets. The Review of Economics and Statistics, 65(2), 289–297.
- Gerald P. D., (2015). The Johansen tests for cointegration. Chapters 7 and 8 in New Introduction to Multiple Time Series, 1–7.
Paper not yet in RePEc: Add citation now
Grunewald O., , McNulty M. S., , & Biere A. W., (1993). Live cattle futures response to cattle on feed reports. American Journal of Agricultural Economics, 75(1), 131–137.
- Gujarati D. N., , Porter D. C., , & Gunasekar S., (2012). Basic econometrics (Fifth Ed.). New Delhi: McGraw Hill Education (India).
Paper not yet in RePEc: Add citation now
- Gupta K., & Singh B., (2007). Investigating the price discovery efficiency of Indian equity futures market. Paradigm, 10(2) 33–45.
Paper not yet in RePEc: Add citation now
- Jorion P., (2002). How informative are value-at-risk disclosures. The Accounting Review, 77(4), 911–931.
Paper not yet in RePEc: Add citation now
Kapil S., & Kapil K. N., (2010). Commodity trading advisors (CTAs) for the Indian commodity market. International Journal of Emerging Markets, 5(2), 124–137.
- Koontz S. R., , Gracia P., & Hodson M. A., (1990). Dominant-satellite relationships between live cattle cash and futures market. Journal of Futures Market, 10(2), 123–136.
Paper not yet in RePEc: Add citation now
M Garcia P., , Hudson M. A., , & Waller M. L., (1988). The pricing efficiency of agricultural futures markets: An analysis of previous research results. Southern Journal of Agricultural Economics, 20(1), 1–12.
Mahalik M. K., (2014). Price discovery and volatility spillovers in futures and spot commodity markets: Some Indian evidence. Journal of Advances in Management Research, 11(2), 211–226.
- Martin T. B., , Christian G., , & Waldemar S., (2019). The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets. International Review of Economics and Finance, 60, 203–215.
Paper not yet in RePEc: Add citation now
Mukharjee I., & Goswami B., (2017). The volatility of returns from commodity futures: Evidence from India. Financial Innovation, 3(15), 1–23.
- Naik G., & Jain S. K., (2002). Indian agricultural commodity futures market: A performance survey. Economic and Political Weekly, 37(30), 3161–3173.
Paper not yet in RePEc: Add citation now
Nargunam R., & Anuradha N., (2017). Market efficiency of gold exchange traded funds in India. Financial Innovation, 3(14), 1–18.
Oellermann C. M., , Brorsen B. W., & Farris P. L., (1989). Price discovery for feeder cattle. Journal of Futures Markets, 9(2), 113–121.
Robles M., , Torero M., , & von Braun J., (2009). When speculation matters. Issue Brief, International Food Policy Research Institute, 57, 1–8.
- Saranya V. P., (2015). Volatility and price discovery process of Indian spot and futures market for non-agricultural commodities. International Journal in Management and Social Science, 3(3), 346–354.
Paper not yet in RePEc: Add citation now
- Sehgal S., , Rajput N., , & Dua R. K., (2012). Price discovery and volatility spillover. International Journal of Accounting and Financial Reporting, 2(2), 31–38.
Paper not yet in RePEc: Add citation now
- Sehgal S., & Pandey A., (2012). Strategic allocation, asset pricing and prior return patterns: Evidence from Indian commodity market. Vision, 16(4), 273–281.
Paper not yet in RePEc: Add citation now
Sendhil R., , Kar A., , Mathur V. C., , & Jha G. K., (2013). Price discovery, transmission and volatility: Evidence from agricultural commodity futures. Agricultural Economics Research Review, 26(1), 41–54.
- Shakeel M., & Purankar S., (2014). Price discovery mechanism of spot and futures market in India: A case of selected agri-commodities. International Research Journal of Business and Management, 7(8), 50–61.
Paper not yet in RePEc: Add citation now
Srinivasan P., (2011). Price discovery and volatility spillovers in Indian spot-futures commodity market. The IUP Journal of Behavioral Finance, 9(1), 70–85.
Srivastava V. K., (2013). Efficiency in Indian commodity market. Paradigm, 17(1&2) 105–110.
Stennis E.A., , Pinar M., , & Allen A. J., (1983). The futures market and price discovery in the textile industry. American Journal of Agricultural Economics, 65(2), 308–310.
Tse Y., (1999). Price discovery and volatility spillovers in the DJIA index and futures markets. Journal of Futures Markets, 29, 911–930.
- Uylangco K., & Li S., (2015). An evaluation of the effectiveness of value-at-risk (VaR) models for Australian banks under Basel III. Australian Journal of Management, 4(4), 699–718.
Paper not yet in RePEc: Add citation now
- Wooldridge Jeffrey M., (2012). Introductory econometrics: A modern approach (Fifth Ed.). Washington, DC: South Western Cengage Learning.
Paper not yet in RePEc: Add citation now
Zapata H. O., & Fortenbery T. R., (1996). Stochastic interest rates and price discovery in selected commodity prices. Review of Agricultural Economics, 18(4), 643–654.