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Modeling the out-of-sample predictive relationship between equity premium, returns on the price of crude oil and economic policy uncertainty using multivariate time-varying dimension models

Nonejad, Nima - In: Energy economics 126 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014483453

Time-varying market price of risk and autoregressive error structure of oil prices

Souza, Carla Gomes Costa de; Aiube, Fernando Antônio Lucena - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 1, pp. 133-141

Persistent link: https://www.econbiz.de/10012307969

Essays in corporate bonds and futures markets

Taksler, Glen Barry - 2002

Persistent link: https://www.econbiz.de/10001717890

The relative pricing of WTI and Brent crude oil futures : expectations or risk premia?

Gao, Xin; Li, Bingxin; Liu, Rui - In: Journal of commodity markets 30 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014426797

Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility : the case of Brent crude oil

Chen, Jilong; Ewald, Christian; Ouyang, Ruolan; … - In: Financial modeling and risk management of energy and …, (pp. 29-46). 2022

Persistent link: https://www.econbiz.de/10013349908

Expectations, Fundamentals, and Asset Returns : Evidence from the Commodity Markets

Beber, Alessandro - 2016

trading flows. Furthermore, dispersion in analysts' forecasts helps in explaining the options implied volatility risk premium …

Persistent link: https://www.econbiz.de/10012988158

Latent Jump Diffusion Factor Estimation for Commodity Futures

Dempster, M. A. H. - 2017

We introduce a new methodology to estimate the latent factors of a multivariate jump diffusion process illustrated with an application to the commodity futures term structure. Specifically, we propose a new state space form and then use a modified Kalman filter to estimate models with latent...

Persistent link: https://www.econbiz.de/10012971319

Commodity futures return predictability and intertemporal asset pricing

Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020

positive risk prices are consistent with the Intertemporal Capital Asset Pricing Model (ICAPM) of Merton (1973), given how the … variables within the ICAPM, thus resurrecting a central role for macroeconomic risk in determining expected returns …

Persistent link: https://www.econbiz.de/10012418356

Expected returns on commodity ETFs and their underlying assets

Cortazar, Gonzalo; Ortega, Hector; Santa Maria, Joaquin; … - In: Journal of commodity markets : JCM 36 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10015162611

Oil consumption, economic growth, and oil futures : a fundamental alternative to financialization

Ready, Robert C. - 2014

Persistent link: https://www.econbiz.de/10010483667