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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

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

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

Dynamic price discovery process of Chinese agricultural futures markets : an empirical study based on the rolling window approach

Xu, Yuanyuan; Pan, Fanghui; Wang, Chuanmei; Li, Jian - In: Journal of agricultural and applied economics : JAEE 51 (2019) 4, pp. 664-681

Persistent link: https://www.econbiz.de/10012268878

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

Cross hedging winter canola

Kim, Seon-Woong; Brorsen, B. Wade; Yoon, Byung-Sam - In: Journal of agricultural and applied economics : JAEE 47 (2015) 4, pp. 462-481

Persistent link: https://www.econbiz.de/10011618285

The impact of price variability on cash/futures market relationships : implications for market efficiency and price discovery

Arnade, Carlos Anthony; Hoffman, Linwood A. - In: Journal of agricultural and applied economics : JAEE 47 (2015) 4, pp. 539-559

Persistent link: https://www.econbiz.de/10011618634

Do extreme CIT position changes move prices in grain futures markets?

Li, Jiarui; Irwin, Scott H.; Etienne, Xiaoli - In: Journal of agricultural and applied economics : JAEE 54 (2022) 4, pp. 792-814

Most previous studies reject the basic tenet of the Masters Hypothesis that the influx of financial index investments has pressured agricultural futures prices upwards substantially. However, the impact of index investment activities may be more complicated and nuanced than can be detected by...

Persistent link: https://www.econbiz.de/10013503720