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Dynamic co-movement in major commodity markets during crisis periods : a wavelet local multiple correlation analysis

Bouri, Elie; Nekhili, Ramzi; Todorova, Neda - In: Finance research letters 55 (2023) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10014473528

Convenience yield, realised volatility and jumps : evidence from non-ferrous metals

Omura, Akihiro; Li, Bin; Chung, Richard; Todorova, Neda - In: Economic modelling 70 (2018), pp. 496-510

Persistent link: https://www.econbiz.de/10012027980

Relative scarcity and convenience yield : evidence from non-ferrous metals

Omura, Akihiro; Chung, Richard; Todorova, Neda; Li, Bin - In: Applied economics 48 (2016) 55/57, pp. 5605-5624

Persistent link: https://www.econbiz.de/10011742083

Trading on mean-reversion in energy futures markets

Lubnau, Thorben; Todorova, Neda - In: Energy economics 51 (2015), pp. 312-319

Persistent link: https://www.econbiz.de/10011564855

Financialization and De-Financialization of Commodity Futures : A Quantile Regression Approach

Bianchi, Robert J. - 2019

This study examines the relationship between commodity futures and global stocks. For the first time, we examine the financialization of commodity futures by employing a quantile regression approach. From 2004-2013, we confirm a strong degree of dependence in energy commodities with moderate...

Persistent link: https://www.econbiz.de/10012897786

On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks

Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012517048

A note on the behavior of Chinese commodity markets

Fan, John Hua; Todorova, Neda - In: Finance research letters 38 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012485380

Financialization and de-financialization of commodity futures: a quantile regression approach

Bianchi, Robert; Fan, John Hua; Todorova, Neda - In: International review of financial analysis 68 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012300938

Information flow, trading activity and commodity futures volatility

Clements, Adam; Todorova, Neda - In: The journal of futures markets 36 (2016) 1, pp. 88-104

Persistent link: https://www.econbiz.de/10011567574

Spillovers and directional predictability with a cross-quantilogram analysis : the case of U.S. and Chinese agricultural futures

Jiang, Huayun; Su, Jen-je; Todorova, Neda; Roca, Eduardo - In: The journal of futures markets 36 (2016) 12, pp. 1231-1255

Persistent link: https://www.econbiz.de/10011665641