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Commodity price dynamics and derivative valuation : a review
Back, Janis; Prokopczuk, Marcel - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-30
Persistent link: https://www.econbiz.de/10010197182
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Forecasting commodity prices : GARCH, jumps, and mean reversion
Bernard, Jean-Thomas; Khalaf, Lynda; Kichian, Maral; … - In: Journal of forecasting 27 (2008) 4, pp. 279-291
Persistent link: https://www.econbiz.de/10003826728
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Regime-switched volatility of brent crude oil futures with Markov-switching ARCH model
Chiu, Tien-yu; Shieh, Shwu-Jane - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 113-124
Persistent link: https://www.econbiz.de/10003855754
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Estimating optimal hedge ratio : a multivariate skew-normal distribution approach
Lien, Da-hsiang Donald; Shrestha, Keshab - In: Applied financial economics 20 (2010) 7/9, pp. 627-636
Persistent link: https://www.econbiz.de/10009009324
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Do USDA announcements affect comovements across commodity futures returns?
Karali, Berna - In: Journal of agricultural and resource economics : JARE ; … 37 (2012) 1, pp. 77-97
Persistent link: https://www.econbiz.de/10009548681
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Valuation of options on oil futures under the 3/4 oil price model
Oud, Mohammed A. Aba; Goard, Joanna - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-12
Persistent link: https://www.econbiz.de/10011418854
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The value of USDA crop progress and condition information : reactions of corn and soybean futures markets
Lehecka, Georg V. - In: Journal of agricultural and resource economics : JARE ; … 39 (2014) 1, pp. 88-105
Persistent link: https://www.econbiz.de/10010380868
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Efficiency and unbiasedness of corn futures markets : new evidence across the financial crisis
Pederzoli, C.; Torricelli, Costanza - In: Applied financial economics 23 (2013) 22/24, pp. 1853-1863
Persistent link: https://www.econbiz.de/10010337258
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Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
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Volatility spillovers in US crude oil, ethanol, and corn futures markets
Trujillo-Barrera, Andrés; Mallory, Mindy; García, Philip - In: Journal of agricultural and resource economics : JARE ; … 37 (2012) 2, pp. 247-262
Persistent link: https://www.econbiz.de/10009675250