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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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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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Convenience yield, mean reverting prices, and long memory in the petroleum market
Mazaheri, A. - In: Applied financial economics 9 (1999) 1, pp. 31-50
Persistent link: https://www.econbiz.de/10001363837
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The forward premium in electricity futures
Bunn, Derek W.; Chen, Dipeng - In: Journal of empirical finance 23 (2013), pp. 173-186
Persistent link: https://www.econbiz.de/10010221755
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The price discovery role of day traders in futures market : evidence from different types of day traders
Fung, Scott; Tsai, Shih-Chuan - In: Journal of empirical finance 64 (2021), pp. 53-77
Persistent link: https://www.econbiz.de/10013259400
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Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets
Teterin, Pavel; Brooks, Robert; Enders, Walter - In: Journal of empirical finance 38 (2016), pp. 22-36
Persistent link: https://www.econbiz.de/10011663220
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Bubbling over! : the behaviour of oil futures along the yield curve
Tsvetanov, Daniel; Coakley, Jerry; Kellard, Neil - In: Journal of empirical finance 38 (2016), pp. 516-533
Persistent link: https://www.econbiz.de/10011663333
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Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2015
Persistent link: https://www.econbiz.de/10011777512
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Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011777909
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Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik; Pilz, Kay Frederik; Schlögl, Erik - 2016
Persistent link: https://www.econbiz.de/10011778017