Narrow search
Showing 1 - 10 of 1,351
Cover Image
Determinants of the crude oil futures curve : inventory, consumption and volatility
Nikitopoulos, Christina Sklibosios; Squires, Matthew; … - In: Journal of banking & finance 84 (2017), pp. 53-67
Persistent link: https://www.econbiz.de/10011816836
Cover Image
Liquidity, credit quality, and the relation between volatility and trading activity : evidence from the corporate bond market
Wang, Junbo; Wu, Chunchi - In: Journal of banking & finance 50 (2015), pp. 183-203
Persistent link: https://www.econbiz.de/10010509587
Cover Image
Fiscal sustainability, volatility and oil wealth : a stochastic analysis of fiscal spending rules
Wijnbergen, Sweder van; Budina, Nina - 2011
Whether fiscal policy is sustainable depends on a government's future revenue and expenditure streams, both of which are highly uncertain. In commodity-rich countries, this problem is intensified by unpredictable and volatile commodity prices. We show how spending rules for oil income and...
Persistent link: https://www.econbiz.de/10011386438
Cover Image
Economic linkages across commodity futures : hedging and trading implications
Chng, Michael T. - In: Journal of banking & finance 33 (2009) 5, pp. 958-970
Persistent link: https://www.econbiz.de/10003836460
Cover Image
Computing the market price of volatility risk in the energy commodity markets
Doran, James S.; Ronn, Ehud I. - In: Journal of banking & finance 32 (2008) 12, pp. 2541-2552
Persistent link: https://www.econbiz.de/10003795774
Cover Image
The Samuelson hypothesis in futures markets : an analysis using intraday data
Huu Nhan Duong; Kalev, Petko S. - In: Journal of banking & finance 32 (2008) 4, pp. 489-500
Persistent link: https://www.econbiz.de/10003707624
Cover Image
Macro news and commodity returns
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015
This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro … Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …
Persistent link: https://www.econbiz.de/10011346863
Cover Image
Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael; Radalj, Kim - 2013
Persistent link: https://www.econbiz.de/10009784945
Cover Image
Financialization in commodity markets : a passing trend or the new normal?
Adams, Zeno; Glück, Thorsten - In: Journal of banking & finance 60 (2015), pp. 93-111
Persistent link: https://www.econbiz.de/10011544903
Cover Image
Risk Premia in Crude Oil Futures Prices
Hamilton, James D. - 2013
If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their...
Persistent link: https://www.econbiz.de/10013081835