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Commodity spot and futures prices under supply, demand, and financial trading : single input-output model
Nakajima, Katsushi - In: Asia Pacific financial markets 27 (2020) 1, pp. 35-59
Persistent link: https://www.econbiz.de/10012222371
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Managing storable commodity risks : the role of inventory and financial hedge
Kouvelis, Panos; Li, Rong; Ding, Qing - In: Manufacturing & service operations management : M & SOM 15 (2013) 3, pp. 507-521
Persistent link: https://www.econbiz.de/10009782007
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Comparison of commodity future pricing approaches with cointegration techniques
Stepanek, Christian - In: Journal of financial engineering 2 (2015) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010528391
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Commodity price dynamics and derivative valuation : a review
Back, Janis; Prokopczuk, Marcel - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-30
Persistent link: https://www.econbiz.de/10010197182
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A comparison of the convenience yield and interest-adjusted basis
Fouquau, Julien; Six, Pierre - In: Finance research letters 14 (2015), pp. 142-149
Persistent link: https://www.econbiz.de/10011552697
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Commodity futures price volatility, convenience yield and economic fundamentals
Power, Gabriel J.; Robinson, John R. C. - In: Applied economics letters 20 (2013) 10/12, pp. 1089-1095
Persistent link: https://www.econbiz.de/10010197057
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Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
Guterding, Daniel - In: The Journal of finance and data science : JFDS 7 (2021), pp. 126-142
can, therefore, be used to hedge against economic uncertainty. We investigate the effect of trader inventory on the price …The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index … 50 market. Under these dynamics, approximate analytical formulas for the implied volatility smile and the VSTOXX index …
Persistent link: https://www.econbiz.de/10013162887
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Commodity derivatives pricing with inventory effects
Bach, Christian; Dziubinski, Matt P. - 2012
Persistent link: https://www.econbiz.de/10009489591
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The Effect of Futures Markets on the Stability of Commodity Prices
de Jong, Johan - 2019
price stability changes non-monotonically with the strength of the coupling between the spot and futures markets. This … aversion, and the volatility of futures prices. In the end we observe a stabilizing effect on spot prices for weakly coupled …
Persistent link: https://www.econbiz.de/10012888781
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The Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield
Nakajima, Katsushi - 2018
between spot, forward, and futures prices. The convenience yield can be interpreted as shadow price of storage, short selling …
Persistent link: https://www.econbiz.de/10012936304