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Equilibrium commodity prices with irreversible investment and non-linear technologies

Casassus, Jaime; Collin-Dufresne, Pierre; Routledge, … - In: Journal of banking & finance 95 (2018), pp. 128-147

Persistent link: https://www.econbiz.de/10011966725

Commodity derivatives valuation with autoregressive and moving average components in the price dynamics

Paschke, Raphael; Prokopczuk, Marcel - In: Journal of banking & finance 34 (2010) 11, pp. 2742-2752

Persistent link: https://www.econbiz.de/10008858840

No-arbitrage conditions for storable commodities and the modeling of futures term structures

Liu, Peng; Tang, Ke - In: Journal of banking & finance 34 (2010) 7, pp. 1675-1687

Persistent link: https://www.econbiz.de/10008649412

Macro news and commodity returns

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015

This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...

Persistent link: https://www.econbiz.de/10011346863