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Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility : the case of Brent crude oil
Chen, Jilong; Ewald, Christian; Ouyang, Ruolan; … - In: Financial modeling and risk management of energy and …, (pp. 29-46). 2022
Persistent link: https://www.econbiz.de/10013349908
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Does the SDR stabilize investing in commodities?
Jin, Jiayu; Han, Liyan; Xu, Yang - In: International review of economics & finance : IREF 81 (2022), pp. 160-172
Persistent link: https://www.econbiz.de/10013343511
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Exogenous oil supply shocks and global agricultural commodity prices : the role of biofuels
Yanfeng, Wei; Qiu, Feng; An, Henry; Zhang, Xindong; Li, … - In: International review of economics & finance : IREF 92 (2024), pp. 394-414
Persistent link: https://www.econbiz.de/10014534913
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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
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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
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Rational destabilizing speculation, positive feedback trading, and the oil bubble of 2008
Tokic, Damir - In: Energy policy 39 (2011) 4, pp. 2051-2061
Persistent link: https://www.econbiz.de/10009126537
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Hedging effectiveness comparisons : a note
Lien, Da-hsiang Donald; Shrestha, Keshab - In: International review of economics & finance : IREF 17 (2008) 3, pp. 391-396
Persistent link: https://www.econbiz.de/10003749652
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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
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Examining the relationship of crude oil future price return and agricultural future price return in US
Wei, Ching Chun; Chen, Shu-Min - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 1, pp. 58-64
Persistent link: https://www.econbiz.de/10011448207
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A survey on physical delivery versus cash settlement in futures contracts
Lien, Da-hsiang Donald; Tse, Yiu Kuen - In: International review of economics & finance : IREF 15 (2006) 1, pp. 15-29
Persistent link: https://www.econbiz.de/10003298476