Similar Search Results

On the volatility of commodity futures prices

Clewlow, Les; Kang, Boda; Nikitopoulos, Christina Sklibosios - In: Nonlinear economic dynamics and financial modelling : …, (pp. 315-334). 2014

Persistent link: https://www.econbiz.de/10011286579

Humps in the volatility structure of the crude oil futures market : new evidence

Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy economics 40 (2013), pp. 989-1000

Persistent link: https://www.econbiz.de/10010355994

Humps in the volatility structure of the crude oil futures market

Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - 2012

Persistent link: https://www.econbiz.de/10009564452

Market efficiency in agricultural futures markets

McKenzie, Andrew M.; Holt, Matthew T. - In: Applied economics 34 (2002) 12, pp. 1519-1532

Persistent link: https://www.econbiz.de/10001687984

Quasi-rational and Ex Ante price expectations in commodity supply models : an empirical analysis of the US broiler market

Holt, Matthew T.; McKenzie, Andrew M. - In: Journal of applied econometrics 18 (2003) 4, pp. 407-426

Persistent link: https://www.econbiz.de/10001779857

Unbiasedness and market efficiency test of the U.S. rice futures market

McKenzie, Andrew M.; Jiang, Bingrong; Djunaidi, Harjanto; … - In: Review of agricultural economics : RAE 24 (2002) 2, pp. 474-493

Persistent link: https://www.econbiz.de/10001745002

The performance of event study approaches using daily commodity futures returns

McKenzie, Andrew M.; Thomsen, Michael R.; Dixon, Bruce L. - In: The journal of futures markets 24 (2004) 6, pp. 533-555

Persistent link: https://www.econbiz.de/10002059371

Nonparametric tests of commodity futures market efficiency

McKenzie, Andrew M.; Djunaidi, Harjanto; Wailes, Eric J.; … - In: The southern business & economic journal 25 (2002) 3/4, pp. 163-173

Persistent link: https://www.econbiz.de/10002007982

Humps in the Volatility Structure of the Crude Oil Futures Market : New Evidence

Chiarella, Carl - 2012

This paper analyzes the volatility structure of the commodity derivatives markets. The model encompasses stochastic volatility that may be unspanned by the futures contracts. A generalized hump-shaped volatility specification is assumed that entails a finite-dimensional affine model for the...

Persistent link: https://www.econbiz.de/10013105165

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