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Seasonality and the valuation of commodity options
Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - In: Journal of banking & finance 37 (2013) 2, pp. 273-290
Persistent link: https://www.econbiz.de/10009705701
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Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika; Schmeck, Maren D.; Balci, Anna KH. - 2020
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...
Persistent link: https://www.econbiz.de/10012216375
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Die Auswirkungen der Spekulation mit Nahrungsmitteln und Rohstoffen
Conrad, Christian A. - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 95 (2015) 6, pp. 429-435
Seit einiger Zeit gibt es eine sehr intensive Diskussion über die Wirkungen von Spekulationen mit Rohstoffen, insbesondere Agrarrohstoffen. Der vorliegende Aufsatz untersucht dies auf der Basis des aktuellen Forschungsstands. Zahlreiche Studien zeigen, dass sich mit Hilfe der Ökonometrie weder...
Persistent link: https://www.econbiz.de/10010533323
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The role of outliers and oil price shocks on volatility of metal prices
Behmiri, Niaz Bashiri; Manera, Matteo - 2015
This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...
Persistent link: https://www.econbiz.de/10011327443
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Financialization in commodity markets : disentangling the crisis from the style effect
Adams, Zeno; Glück, Thorsten - 2014
, has changed the behavior and dependence structure between commodities and the general stock market. The common perception … argue that commodities have become an investment style for institutional investors. Given that institutional investors … continue to target funds into commodities, we predict spillovers between commodities and the stock market to remain high in the …
Persistent link: https://www.econbiz.de/10010410769
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The Role of Financial Investments in Agricultural Commodity Derivatives Markets
Borin, Alessandro - 2012
agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that …
Persistent link: https://www.econbiz.de/10013108352
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Enhancing Agricultural Market Information Services is Necessary for Efficient Trading in Agricultural Commodity Derivatives
Lingareddy, Tulsi - 2017
India has witnessed a limited progress in Agricultural Market Information Services (AMIS) confining to dissemination of the available information rather than improving its extent of coverage, quality and timeliness. The paper attempts to discuss the critical gaps in the existing system of AMIS...
Persistent link: https://www.econbiz.de/10012964332
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Price Discovery in Agricultural Commodity Markets : Do Speculators Contribute?
Bohl, Martin T. - 2019
new price discovery metric, the present study analyzes this relationship for various agricultural commodities. On the …
Persistent link: https://www.econbiz.de/10012868072
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Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures
Bohl, Martin T. - 2018
Chinese futures markets for agricultural commodities are among the fastest growing futures markets in the world and … speculative activity in Chinese futures markets for agricultural commodities destabilizes futures returns. To capture speculative …-lag relationship between speculative activity and returns volatility. For most of the commodities, we find a positive influence of the …
Persistent link: https://www.econbiz.de/10012929811