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Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
Nakajima, Katsushi - In: Annals of finance 18 (2022) 1, pp. 35-80
Persistent link: https://www.econbiz.de/10013194631
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Constrained dynamic futures portfolios with stochastic basis
Chen, Xiaodong; Leung, Tim; Zhou, Yang - In: Annals of finance 18 (2022) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10013194629
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A functional time series analysis of forward curves derived from commodity futures
Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan - In: International journal of forecasting 36 (2020) 2, pp. 646-665
Persistent link: https://www.econbiz.de/10012415316
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Optimal trading of a basket of futures contracts
Angoshtari, Bahman; Leung, Tim - In: Annals of finance 16 (2020) 2, pp. 253-280
Persistent link: https://www.econbiz.de/10012496334
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Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948
Persistent link: https://www.econbiz.de/10012497080
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On the implied market price of risk under the stochastic numéraire
Dokučaev, Nikolaj G. - In: Annals of finance 14 (2018) 2, pp. 223-251
Persistent link: https://www.econbiz.de/10011945595
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Forecasting crude oil futures market returns : a principal component analysis combination approach
Zhang, Yaojie; Wang, Yudong - In: International journal of forecasting 39 (2023) 2, pp. 659-673
Persistent link: https://www.econbiz.de/10014465079
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A novel text-based framework for forecasting agricultural futures using massive online news headlines
Li, Jianping; Li, Guowen; Liu, Mingxi; Zhu, Xiaoqian; … - In: International journal of forecasting 38 (2022) 1, pp. 35-50
Persistent link: https://www.econbiz.de/10013347409