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The stochastic seasonal behavior of energy commodity convenience yields

García Mirantes, Andrés; Población, Javier; Serna, … - In: Energy economics 40 (2013), pp. 155-166

Persistent link: https://www.econbiz.de/10010349595

Pricing of forwards and other derivatives in cointegrated commodity markets

Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 52 (2015) 1, pp. 104-117

Persistent link: https://www.econbiz.de/10011568135

Expected commodity returns and pricing models

Cortazar, Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S. - In: Energy economics 49 (2015), pp. 60-71

Persistent link: https://www.econbiz.de/10011536656

Tail events : a new approach to understanding extreme energy commodity prices

Koch, Nikolas - In: Energy economics 43 (2014), pp. 195-205

Persistent link: https://www.econbiz.de/10010504824

Crude oil : commodity or financial asset?

Kolodziej, Marek; Kaufmann, Robert Kurt; Kulatilaka, Nalin - In: Energy economics 46 (2014), pp. 216-223

Persistent link: https://www.econbiz.de/10011298597

A reappraisal of the chaotic paradigm for energy commodity prices

Mastroeni, Loretta; Vellucci, Pierluigi; Naldi, Maurizio - In: Energy economics 82 (2019), pp. 167-178

Persistent link: https://www.econbiz.de/10012173910

Distributional predictability between commodity spot and futures : evidence from nonparametric causality-in-quantiles tests

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Hammoudeh, … - In: Energy economics 78 (2019), pp. 615-628

Persistent link: https://www.econbiz.de/10012160046

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

A multifactor stochastic volatility model of commodity prices

Cortazar, Gonzalo; Lopez, Matias; Naranjo, Lorenzo - In: Energy economics 67 (2017), pp. 182-201

Persistent link: https://www.econbiz.de/10011897898

Relative value arbitrage in European commodity markets

Hain, Martin; Hess, Julian; Uhrig-Homburg, Marliese - In: Energy economics 69 (2018), pp. 140-154

Persistent link: https://www.econbiz.de/10011941222

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