inflation in the medium term, whilst at the same time the pass-through of exogenous commodity price shocks from the headline to … makers which could price the derivative based on the cross-hedging potential of commodities …

markets of a commodity. This model provides a unifying framework for the hedging pressure and storage theories. The model … shows a variety of behaviors at equilibrium that can be used to analyze price relations for any commodity. Further, through … a comparative statics analysis, we precisely identify the losers and winners in the financialization of the commodity …

What can we learn about a physical commodity by studying its hedging characteristics? We use a hedging study to shed … consistent evidence to support the "simple is better" hypothesis in relation to hedging models. Finally we caution against …

-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …

This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less … frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity …

This review article describes the main contributions in the literature on term structure models of commodity prices … traditional theories of commodity prices and to their explanation of the relationship between spot and futures prices. The … structure models of commodity prices. The presentation shows that these models differ on the nature and the number of factors …

This review article describes the main contributions in the literature on term structure models of commodity prices … traditional theories of commodity prices and to their explanation of the relationship between spot and futures prices. The … structure models of commodity prices. The presentation shows that these models differ on the nature and the number of factors …

commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …