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Commodity price dynamics and derivative valuation : a review

Back, Janis; Prokopczuk, Marcel - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-30

Persistent link: https://www.econbiz.de/10010197182

Futures basis, inventory and commodity price volatility : an empirical analysis

Symeonidis, Lazaros; Prokopczuk, Marcel; Brooks, Chris; … - In: Economic modelling 29 (2012) 6, pp. 2651-2663

Persistent link: https://www.econbiz.de/10009673627

Investing in commodity futures markets : can pricing models help?

Paschke, Raphael; Prokopczuk, Marcel - In: The European journal of finance 18 (2012) 1/2, pp. 59-87

Persistent link: https://www.econbiz.de/10009565253

Commodity Price Dynamics and Derivatives Valuation : A Review

Back, Janis - 2013

This paper reviews extant research on commodity price dynamics and commodity derivatives pricing models. In the first half, we provide an overview of stylized facts of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half,...

Persistent link: https://www.econbiz.de/10013090406

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

Convenience yield risk

Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: Energy economics 120 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014283248

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

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

Economic determinants of oil futures volatility : term structure perspective

Kang, Boda; Nikitopoulos, Christina Sklibosios; … - In: Energy economics 88 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012515144

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