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The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
Liu, Peng; Tang, Ke - In: Journal of empirical finance 18 (2011) 2, pp. 211-224
Persistent link: https://www.econbiz.de/10009301130
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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
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Filtering and forecasting commodity futures prices under an HMM framework
Date, Paresh; Mamon, Rogemar; Tenyakov, Anton - In: Energy economics 40 (2013), pp. 1001-1013
Persistent link: https://www.econbiz.de/10010355984
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Time-variations in commodity price jumps
Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
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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
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On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes
Berger, Theo; Uddin, Mohammed Gazi Salah - In: Energy economics 56 (2016), pp. 374-383
Persistent link: https://www.econbiz.de/10011664267
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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
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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
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Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
Weron, Rafał; Zator, Michał - In: Energy economics 44 (2014), pp. 178-190
Persistent link: https://www.econbiz.de/10010457224
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The inconvenience yield of carbon futures
Palao, Fernando; Pardo, Ángel - In: Energy economics 101 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10013161744