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UK natural gas : gas-specific or oil driven pricing?
Asche, Frank; Oglend, Atle; Osmundsen, Petter - 2013
In this paper we investigate the time-varying relationship between oil and natural gas in the UK. We develop a model where relative prices can move between pricing-regimes; markets switch between being decoupled and integrated. Our model endogenously accounts for periods where oil and natural...
Persistent link: https://www.econbiz.de/10010212645
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Curve momentum
Paschke, Raphael; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 113 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012226133
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The skewness of commodity futures returns
Fernandez-Perez, Adrian; Frijns, Bart; Fuertes, Ana María - In: Journal of banking & finance 86 (2018), pp. 127-142
Persistent link: https://www.econbiz.de/10011962440
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Introduction: special issue on commodity and energy markets in the Journal of Banking and Finance
Roncoroni, Andrea; Prokopczuk, Marcel; Ronn, Ehud I. - In: Journal of banking & finance 95 (2018), pp. 1-4
Persistent link: https://www.econbiz.de/10011966673
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The impact of commodity benchmarks on derivatives markets : the case of the dated Brent assessment and Brent futures
Frino, Alex; Ibikunle, Gbenga; Mollica, Vito; Steffen, Tom - In: Journal of banking & finance 95 (2018), pp. 27-43
Persistent link: https://www.econbiz.de/10011966695
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Equilibrium commodity prices with irreversible investment and non-linear technologies
Casassus, Jaime; Collin-Dufresne, Pierre; Routledge, … - In: Journal of banking & finance 95 (2018), pp. 128-147
Persistent link: https://www.econbiz.de/10011966725
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Pricing of long-dated commodity derivatives : do stochastic interest rates matter?
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - In: Journal of banking & finance 95 (2018), pp. 148-166
Persistent link: https://www.econbiz.de/10011966734
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Do oil futures prices predict stock returns?
Chiang, I-Hsuan Ethan; Hughen, W. Keener - In: Journal of banking & finance 79 (2017), pp. 129-141
Persistent link: https://www.econbiz.de/10011815141
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A jump-diffusion model for pricing and hedging with margined options : an application to Brent crude oil contracts
Hilliard, Jimmy E.; Hilliard, Jitka - In: Journal of banking & finance 98 (2019), pp. 137-155
Persistent link: https://www.econbiz.de/10012162247
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Are there exploitable trends in commodity futures prices?
Han, Yufeng; Hu, Ting; Yang, Jian - In: Journal of banking & finance 70 (2016), pp. 214-234
Persistent link: https://www.econbiz.de/10011635208