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Are futures prices good price forecasts? : underestimation of price reversion in the soybean complex

Huang, Joshua; Serra, Teresa; García, Philip - In: European review of agricultural economics 47 (2020) 1, pp. 178-199

Persistent link: https://www.econbiz.de/10012153264

What drives the commodity price beta of oil industry stocks?

Talbot, Edward; Artiach, Tracy; Faff, Robert W. - In: Energy economics 37 (2013), pp. 1-15

Persistent link: https://www.econbiz.de/10009759405

Do oil spot and futures prices move together?

Chang, Chun Ping; Lee, Chien-chiang - In: Energy economics 50 (2015), pp. 379-390

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Detecting volatility changes across the oil sector

Wilson, Berry K. - In: The journal of futures markets 16 (1996) 3, pp. 313-330

Persistent link: https://www.econbiz.de/10001198874

Nonlinear Intermediary Pricing in the Oil Futures Market

Bierbaumer, Daniel - 2018

We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...

Persistent link: https://www.econbiz.de/10012926240