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Commodity derivatives valuation with autoregressive and moving average components in the price dynamics
Paschke, Raphael; Prokopczuk, Marcel - In: Journal of banking & finance 34 (2010) 11, pp. 2742-2752
Persistent link: https://www.econbiz.de/10008858840
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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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The impact of commodity benchmarks on derivatives markets : the case of the dated Brent assessment and Brent futures
Frino, Alex; Ibikunle, Gbenga; Mollica, Vito; Steffen, Tom - In: Journal of banking & finance 95 (2018), pp. 27-43
Persistent link: https://www.econbiz.de/10011966695
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Pricing of long-dated commodity derivatives : do stochastic interest rates matter?
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - In: Journal of banking & finance 95 (2018), pp. 148-166
Persistent link: https://www.econbiz.de/10011966734
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From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Schneider, Lorenz; Tavin, Bertrand - In: Journal of banking & finance 95 (2018), pp. 185-202
Persistent link: https://www.econbiz.de/10011966746
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Do oil futures prices predict stock returns?
Chiang, I-Hsuan Ethan; Hughen, W. Keener - In: Journal of banking & finance 79 (2017), pp. 129-141
Persistent link: https://www.econbiz.de/10011815141
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Determinants of the crude oil futures curve : inventory, consumption and volatility
Nikitopoulos, Christina Sklibosios; Squires, Matthew; … - In: Journal of banking & finance 84 (2017), pp. 53-67
Persistent link: https://www.econbiz.de/10011816836
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A jump-diffusion model for pricing and hedging with margined options : an application to Brent crude oil contracts
Hilliard, Jimmy E.; Hilliard, Jitka - In: Journal of banking & finance 98 (2019), pp. 137-155
Persistent link: https://www.econbiz.de/10012162247
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Cross-asset time-series momentum : crude oil volatility and global stock markets
Fernandez-Perez, Adrian; Indriawan, Ivan; Tse, Yiuman; … - In: Journal of banking & finance 154 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014492117