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Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness

Dutta, Anupam; Noor, Md Hasib - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal this gap by investigating the volatility cross effects...

Persistent link: https://www.econbiz.de/10011881040

Short- and long-run determinants of commodity price volatility

Karali, Berna; Power, Gabriel J. - In: American journal of agricultural economics 95 (2013) 3, pp. 724-738

Persistent link: https://www.econbiz.de/10009758629

On jumps and ARCH effects in natural resource prices : an application to Pacific Northwest stumpage prices

Saphores, Jean-Daniel M.; Khalaf, Lynda; Pelletier, Denis - In: American journal of agricultural economics 84 (2002) 2, pp. 387-400

Persistent link: https://www.econbiz.de/10001683998

Effects of forward sales on spot markets : pre-commitment sales and prices for fresh strawberries

Mohapatra, Sandeep; Goodhue, Rachael E.; Carter, Colin Andre - In: American journal of agricultural economics 92 (2010) 1, pp. 152-163

Persistent link: https://www.econbiz.de/10008904370

Dynamic correlations and volatility spillovers between crude oil and stock index returns : the implications for optimal portfolio construction

Lee, Yen-Hsien; Huang, Ya-Ling; Wu, Chun-Yu - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 3, pp. 327-336

Persistent link: https://www.econbiz.de/10011286211

Hedging petroleum futures with multivariate GARCH models

Tanattrin Bunnag - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 1, pp. 105-120

Persistent link: https://www.econbiz.de/10011287161

Carbon future price return, oil future price return and stock index future price return in the U.S.

Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662

Persistent link: https://www.econbiz.de/10011550607

Volatility transmission in oil futures markets and carbon emissions futures

Tanattrin Bunnag - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 3, pp. 647-659

Persistent link: https://www.econbiz.de/10011455969

Volatility transmission in crude oil, gold, Standard and Poor's 500 and US Dollar Index futures using vector autoregressive-multivariate generalized autoregressive conditional hete...

Tanattrin Bunnag - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 1, pp. 39-52

Persistent link: https://www.econbiz.de/10011448160

Hedging multiple price uncertainty in international grain trade

Haigh, Michael S.; Holt, Matthew T. - In: American journal of agricultural economics 82 (2000) 4, pp. 881-896

Persistent link: https://www.econbiz.de/10001527508