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Commodity futures price behaviour following large one-day price changes

Mazouz, Khelifa; Wang, Jian - In: Applied financial economics 24 (2014) 13/15, pp. 939-948

Persistent link: https://www.econbiz.de/10010410296

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

Execution edge of pit traders and intraday price ranges of soft commodities

Kliakhandler, Igor L. - In: Applied financial economics 17 (2007) 4/6, pp. 343-350

Persistent link: https://www.econbiz.de/10003446026

Forward-looking agents and macroeconomic determinants of the equity price in a small open economy

Kia, Amir - In: Applied financial economics 13 (2003) 1, pp. 37-54

Persistent link: https://www.econbiz.de/10001725721

Modelling time-vaying conditionl correlations in the volatility of Tapus oil spot and forward returns

Manera, Matteo; McAleer, Michael; Grasso, Margherita - In: Applied financial economics 16 (2006) 7, pp. 525-533

Persistent link: https://www.econbiz.de/10003320406

A systematic modelling strategy for futures markets volatility

Carvalho, Ana Filipa; Costa, José Sá da; Lopes, José … - In: Applied financial economics 16 (2006) 11, pp. 819-833

Persistent link: https://www.econbiz.de/10003351005

How do you straddle hogs and pigs? : ask the Greeks!

McKenzie, Andrew M.; Thomsen, Michael; Phelan, Josh - In: Applied financial economics 17 (2007) 7/9, pp. 511-520

Persistent link: https://www.econbiz.de/10003491159

Hedging effectiveness and futures contract maturity : the case of NYMEX crude oil futures

Ripple, Ronald D.; Moosa, Imad A. - In: Applied financial economics 17 (2007) 7/9, pp. 683-689

Persistent link: https://www.econbiz.de/10003491216

A TARCH examination of the return volatility-volume relationship in electricity futures

Hadsell, Lester - In: Applied financial economics 16 (2006) 12, pp. 893-901

Persistent link: https://www.econbiz.de/10003377843

Trading futures spreads : an application of correlation and threshold filters

Dunis, C. L.; Laws, Jason; Evans, Ben - In: Applied financial economics 16 (2006) 12, pp. 903-914

Persistent link: https://www.econbiz.de/10003377844