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Equilibrium commodity prices with irreversible investment and non-linear technologies
Casassus, Jaime; Collin-Dufresne, Pierre; Routledge, … - In: Journal of banking & finance 95 (2018), pp. 128-147
Persistent link: https://www.econbiz.de/10011966725
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The skewness of commodity futures returns
Fernandez-Perez, Adrian; Frijns, Bart; Fuertes, Ana María - In: Journal of banking & finance 86 (2018), pp. 127-142
Persistent link: https://www.econbiz.de/10011962440
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - In: Journal of banking & finance 77 (2017), pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
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Factor based commodity investing
Sakkas, Athanasios; Tessaromatis, Nikolaos P. - In: Journal of banking & finance 115 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012489156
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Asymmetric effect of basis on dynamic futures hedging : empirical evidence from commodity markets
Lien, Da-hsiang Donald; Li, Yang - In: Journal of banking & finance 32 (2008) 2, pp. 187-198
Persistent link: https://www.econbiz.de/10003647092
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A Markov regime switching approach for hedging energy commodities
Alizadeh-Masoodian, Amir H.; Nomikos, Nikos K.; … - In: Journal of banking & finance 32 (2008) 9, pp. 1970-1983
Persistent link: https://www.econbiz.de/10003775048
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Long term spread option valuation and hedging
Dempster, Michael A. H.; Medova, Elena; Tang, Ke - In: Journal of banking & finance 32 (2008) 12, pp. 2530-2540
Persistent link: https://www.econbiz.de/10003795773
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Computing the market price of volatility risk in the energy commodity markets
Doran, James S.; Ronn, Ehud I. - In: Journal of banking & finance 32 (2008) 12, pp. 2541-2552
Persistent link: https://www.econbiz.de/10003795774
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Tactical allocation in commodity futures markets : combining momentum and term structure signals
Fuertes, Ana María; Miffre, Joëlle; Rallis, Georgios - In: Journal of banking & finance 34 (2010) 10, pp. 2530-2548
Persistent link: https://www.econbiz.de/10008858295
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Capturing the risk premium of commodity futures : the role of hedging pressure
Basu, Devraj; Miffre, Joëlle - In: Journal of banking & finance 37 (2013) 7, pp. 2652-2664
Persistent link: https://www.econbiz.de/10009760567