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Option-implied preference with model uncertainty

Kang, Byung Jin; Kim, Tong Suk; Lee, Hyo Seob - In: The journal of futures markets 34 (2014) 6, pp. 498-515

Persistent link: https://www.econbiz.de/10010371415

Effects of speculation and interest rates in a “carry trade” model of commodity prices

Frankel, Jeffrey A. - 2013

Persistent link: https://www.econbiz.de/10009791157

Effects of speculation and interest rates in a “carry trade” model of commodity prices

Frankel, Jeffrey A. - In: Journal of international money and finance 42 (2014), pp. 88-112

Persistent link: https://www.econbiz.de/10010371827

A dynamic model of hedging and speculation in the commodity futures markets

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of financial markets 25 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011477250

Effects of Speculation and Interest Rates in a "Carry Trade" Model of Commodity Prices

Frankel, Jeffrey A. - 2013

The paper presents and estimates a model of the prices of oil and other storable commodities, a model that can be characterized as reflecting the carry trade. It focuses on speculative factors, here defined as the trade-off between interest rates on the one hand and market participants'...

Persistent link: https://www.econbiz.de/10013075796