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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

Co-movements in commodity markets andimplications in diversification benefits

Cai, Xiao Jing; Fang, Zheng; Youngho, Chang; Tian, Shuairu - In: Empirical economics : a journal of the Institute for … 58 (2020) 2, pp. 393-425

Persistent link: https://www.econbiz.de/10012219019

Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets

Benth, Fred Espen - 2014

We analyse cointegration in commodity markets, and propose a parametric class of pricing measures which preserves cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility and correlation in the context of our spot price...

Persistent link: https://www.econbiz.de/10013044930

Market efficiency among futures with different maturities : evidence from the crude oil futures market

Kawamoto, Kaoru; Hamori, Shigeyuki - In: The journal of futures markets 31 (2011) 5, pp. 487-501

Persistent link: https://www.econbiz.de/10009009222

Optimal Portfolios in commodity futures markets

Benth, Fred Espen; Lempa, Jukka - In: Finance and stochastics 18 (2014) 2, pp. 407-430

Persistent link: https://www.econbiz.de/10010340676

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406

Persistent link: https://www.econbiz.de/10010457150

Causality in variance and the type of traders in crude oil futures

Bhar, Ramaprasad; Hamori, Shigeyuki - In: Energy economics 27 (2005) 3, pp. 527-539

Persistent link: https://www.econbiz.de/10002891824

Can BRICS's currency be a hedge or a safe haven for energy portfolio? : an evidence from vine copula approach

He, Yijin; Nakajima, Tadahiro; Hamori, Shigeyuki - In: The Singapore economic review : journal of the Economic … 65 (2020) 4, pp. 805-836

Persistent link: https://www.econbiz.de/10012509267

Analysis of the risk premium in the forward market for salmon

Benth, Fred Espen; Eikeset, Anne Maria; Levin, Simon Asher - In: Journal of commodity markets 21 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012807713

Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling

Kremer, Marcel; Benth, Fred Espen; Felten, Björn; … - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-38

Persistent link: https://www.econbiz.de/10012271026