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Quantitative finance for agricultural commodities : discussion and extension
Power, Gabriel J. - In: Agricultural finance review 76 (2016) 1, pp. 27-41
Persistent link: https://www.econbiz.de/10011695493
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A study of Shanghai fuel oil futures price volatility based on high frequency data : long-range dependence, modeling and forecasting
Liu, Li; Wan, Jieqiu - In: Economic modelling 29 (2012) 6, pp. 2245-2253
Persistent link: https://www.econbiz.de/10009673777
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Commodities price cycles and their interdependence with equity markets
Boako, Gideon; Alagidede, Imhotep Paul; Sjo, Bo; Uddin, … - In: Energy economics 91 (2020), pp. 1-26
Persistent link: https://www.econbiz.de/10012518586
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Commodities price cycles and their interdependence with equity markets
Boako, Gideon; Alagidede, Imhotep Paul - 2021
Persistent link: https://www.econbiz.de/10012631215
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Crude oil futures trading and uncertainty
Czudaj, Robert L. - 2018
This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...
Persistent link: https://www.econbiz.de/10011979326
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Crude oil futures trading and uncertainty
Czudaj, Robert - In: Energy economics 80 (2019), pp. 793-811
Persistent link: https://www.econbiz.de/10012173728
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Efficiency of crude oil futures markets : new evidence from multifractal detrending moving average analysis
Wang, Yudong; Wu, Chongfeng - In: Computational economics 42 (2013) 4, pp. 393-414
Persistent link: https://www.econbiz.de/10010249882
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Catching the curl : wavelet thresholding improves forward curve modelling
Power, Gabriel J.; Eaves, James; Turvey, Calum Greig; … - In: Economic modelling 64 (2017), pp. 312-321
Persistent link: https://www.econbiz.de/10011761254
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The macroeconomic variables impact on commodity futures volatility : a study on Indian markets
Sreenu, Nenavath; Rao, K. S. S.; Kishan, D. - In: Cogent business & management 8 (2021) 1, pp. 1-17
The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in … daily price volatility is studied in the research employed by the GARCH-MIDAS model. This model simplifies the series of … volatility into long- and short-run modules, which allow for the testing of the macroeconomic variables can control the long …
Persistent link: https://www.econbiz.de/10012631342
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Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei; Linetsky, Vadim - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 289-330
Persistent link: https://www.econbiz.de/10010357373