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Measuring index investment in commodity futures markets
Sanders, Dwight R.; Irwin, Scott H. - In: The energy journal 34 (2013) 3, pp. 105-127
Persistent link: https://www.econbiz.de/10009771880
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Mapping Algorithms, Agricultural Futures, and the Relationship Between Commodity Investment Flows and Crude Oil Futures Prices
Yan, Lei - 2020
Several studies employ mapping algorithms to infer index positions in WTI crude oil futures from positions in agricultural futures and report an economically large and statistically significant impact of index positions on crude oil futures prices. In this article, we provide direct evidence...
Persistent link: https://www.econbiz.de/10012849741
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Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices
Yan, Lei; Irwin, Scott H.; Sanders, Dwight R. - In: Energy economics 72 (2018), pp. 486-504
Persistent link: https://www.econbiz.de/10011972365
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Modelling the relationship between crude oil and agricultural commodity prices
Duc Hong Vo; Tan Ngoc Vu; Anh The Vo; McAleer, Michael - 2018
Persistent link: https://www.econbiz.de/10011987133
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Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017
Persistent link: https://www.econbiz.de/10011965722
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Modeling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro; Manera, Matteo; McAleer, Michael - In: Finance research letters 3 (2006) 2, pp. 114-132
Persistent link: https://www.econbiz.de/10003333927
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669344
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - 2010
Persistent link: https://www.econbiz.de/10008669993
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987324