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Jumps in commodity prices : new approaches for pricing plain vanilla options
Crosby, John; Frau, Carme - In: Energy economics 114 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013477538
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Price volatility spillovers in commodities market : an analytical study of selected commodities
Pillai, Raji; Lokanadha Reddy M - In: Finance India : the quarterly journal of Indian … 36 (2022) 3, pp. 971-982
Persistent link: https://www.econbiz.de/10013477560
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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
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Extreme risk dependence and time-varying spillover between crude oil, commodity market and inflation in China
Li, Houjian; Huang, Xinya; Guo, Lili - In: Energy economics 127 (2023) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10014490005
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The role of the threshold effect for the dynamics of futures and spot prices of energy commodities
Rubaszek, Michal; Karolak, Zuzanna; Kwas, Marek; Uddin, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 5, pp. 1-20
Persistent link: https://www.econbiz.de/10012406037
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Commodity price forecasts, futures prices, and pricing models
Cortazar, Gonzalo; Millard, Cristobal; Ortega, Hector; … - In: Management science : journal of the Institute for … 65 (2019) 9, pp. 4141-4155
Persistent link: https://www.econbiz.de/10012118549
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Dependency, centrality and dynamic networks for international commodity futures prices
Wu, Fei; Zhao, Wan-Li; Ji, Qiang; Zhang, Dayong - In: International review of economics & finance : IREF 67 (2020), pp. 118-132
Persistent link: https://www.econbiz.de/10012485715
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Commodity financialisation and price co-movement : lessons from two centuries of evidence
Zaremba, Adam; Umar, Zaghum; Mikutowski, Mateusz - In: Finance research letters 38 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10012490185
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The good, the bad and the ugly relation between oil and commodities : an analysis of asymmetric volatility connectedness and portfolio implications
Maitra, Debasish; Guhathakurta, Kousik; Kang, Sang Hoon - In: Energy economics 94 (2021), pp. 1-30
Persistent link: https://www.econbiz.de/10012649444
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Price volatility, the maturity effect, and global oil prices : evidence from Chinese commodity futures markets
Ao, Jing; Chen, Jihui - In: Journal of economics and finance : JEF 44 (2020) 4, pp. 627-654
Persistent link: https://www.econbiz.de/10012297012