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The asymmetric effects of scarcity and abundance on storable commodity price dynamics and hedge ratios
Carbonez, Katelijne A. E.; Nguyen, Thi Tuong Van; … - 2010
Persistent link: https://www.econbiz.de/10009126850
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The Asymmetric Effects of Scarcity and Abundance on Storable Commodity Price Dynamics and Hedge Ratios
Carbonez, Katelijne A. E. - 2010
This paper revisits the asymmetric effect of the basis on commodity spot and futures price volatilities documented by Kogan, Livdan and Yaron (2008) and Lien and Yang (2008). Kogan et al. (2008) show both theoretically and empirically that, for a non-storable consumption good, the relationship...
Persistent link: https://www.econbiz.de/10013144892
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Hedging with two futures contracts : simplicity pays
Carbonez, Katelijne A. E.; Nguyen, Thi Tuong Van; … - In: European financial management : the journal of the … 17 (2011) 5, pp. 806-834
Persistent link: https://www.econbiz.de/10009388244
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Hedging with two futures contracts : simplicity pays
Nguyen, Thi Tuong Van; Carbonez, Katelijne A. E.; … - 2010
Persistent link: https://www.econbiz.de/10009126825
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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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Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
Mellios, Constantin; Six, Pierre; Anh Ngoc Lai - In: European journal of operational research : EJOR 250 (2016) 2, pp. 493-504
Persistent link: https://www.econbiz.de/10011441684
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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
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Commodity spot and futures prices under supply, demand, and financial trading : single input-output model
Nakajima, Katsushi - In: Asia Pacific financial markets 27 (2020) 1, pp. 35-59
Persistent link: https://www.econbiz.de/10012222371
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The convenience yield under commodity financialization
Milonas, Nikolaos T.; Photina, Evangelia K. - In: The journal of futures markets 44 (2024) 4, pp. 631-652
Persistent link: https://www.econbiz.de/10014536663
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International market information and agricultural commodity price dynamics
Jeong, Sei; Gopinath, Munisamy - In: Journal of agribusiness in developing and emerging … 14 (2024) 2, pp. 376-392
Persistent link: https://www.econbiz.de/10014525295