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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
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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
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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
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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
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Macro-hedging for commodity exporters
Borensztein, Eduardo; Jeanne, Olivier; Sandri, Damiano - 2009
Persistent link: https://www.econbiz.de/10003897445
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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
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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
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Risk premia in crude oil futures prices
Hamilton, James D.; Wu, Jing Cynthia - 2013
Persistent link: https://www.econbiz.de/10009753788
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Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael; Radalj, Kim - 2013
Persistent link: https://www.econbiz.de/10009784945
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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