Narrow search
Showing 1 - 10 of 240,912
Cover Image
Commodity prices in empirical research
Carpantier, Jean-François - 2020
Persistent link: https://www.econbiz.de/10012243908
Cover Image
Time-Variations in Commodity Price Jumps
Diewald, Laszlo - 2019
, i.e. exhibits seasonality. We propose a stochastic volatility jump-diffusion model to capture this seasonal variation …
Persistent link: https://www.econbiz.de/10012905261
Cover Image
Volatility Term Structures in Commodity Markets
Hollstein, Fabian - 2019
In this study, we comprehensively examine the volatility term structures in commodity markets. We model state …-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the … equity market. We detect strong economic links and a substantial interconnectedness of the volatility term structures of …
Persistent link: https://www.econbiz.de/10012858896
Cover Image
Internet, noise trading and commodity prices
Peri, Massimo; Vandone, Daniela; Baldi, Lucia - 2012
Persistent link: https://www.econbiz.de/10011759934
Cover Image
Propagation of commodity market shocks
Marini, Annalisa; McCorriston, Steve - 2017
Persistent link: https://www.econbiz.de/10011898902
Cover Image
Jumps in Commodity Markets
Nguyen, Duc Binh Benno - 2019
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 sectors. Energy, metal and grains commodities show...
Persistent link: https://www.econbiz.de/10012900597
Cover Image
The dynamic spillover effects of macroeconomic and financial uncertainty on commodity markets uncertainties
Ben Haddad, Hedi; Mezghani, Imed; Gouider, Abdessalem - In: Economies : open access journal 9 (2021) 2, pp. 1-22
commodity price uncertainties are proven to be leading indicators of uncertainty rather than volatility in commodity markets. In …
Persistent link: https://www.econbiz.de/10012548331
Cover Image
Financialized commodities and stock indices volatilities
Handika, Rangga; Ashraf, Sania - In: European research studies 21 (2018) 1, pp. 153-164
Persistent link: https://www.econbiz.de/10012219883
Cover Image
Evaluating the effectiveness of modern forecasting models in predicting commodity futures prices in volatile economic times
Vancsura, László; Tatay, Tibor; Bareith, Tibor - In: Risks : open access journal 11 (2023) 2, pp. 1-16
calm economic environment, the estimation accuracy is higher (1.5% vs. 4%), and that the AI-based estimation methods …
Persistent link: https://www.econbiz.de/10014233184
Cover Image
The Determinants of Extreme Commodity Prices
Kuralbayeva, Karlygash - 2012
Fat-tailed commodity price innovations are well-documented in the literature and long recognized as disruptive for consumers and producers, yet little is known about what factors drive such extreme events. Utilizing a wide range of factors from the economics and finance literature and quantile...
Persistent link: https://www.econbiz.de/10013114046