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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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Testing the nature of long and short run relationships between spot and future commodity prices in India
Naresh, G.; Thiyagarajan, S.; Mahalakshmi, S.; Shanthi, P. - In: Praj̄nȧn : journal of social and management sciences 42 (2013) 2, pp. 185-199
Persistent link: https://www.econbiz.de/10010223544
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016
In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...
Persistent link: https://www.econbiz.de/10011507774
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Cointegration and settlement of commodity futures contracts
Foster, Kenneth Alan; Havenner, Arthur - In: Macroeconomic dynamics 3 (1999) 2, pp. 226-242
Persistent link: https://www.econbiz.de/10001618325
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Identification by full adjustment : evidence from the relationship between futures and spot prices
Kuiper, W. Erno; Pennings, Joost M. E.; Meulenberg, … - In: European review of agricultural economics : ERAE 29 (2002) 1, pp. 67-84
Persistent link: https://www.econbiz.de/10001653570
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Financialisation of commodities : empirical evidence from the Indian financial market
Shamsher, Salim - In: IIMB management review 33 (2021) 1, pp. 38-49
Persistent link: https://www.econbiz.de/10013205184
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Pricing of forwards and other derivatives in cointegrated commodity markets
Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 52 (2015) 1, pp. 104-117
Persistent link: https://www.econbiz.de/10011568135
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Permanent and transitory price shocks in commodity futures markets and their relation to speculation
Haase, Marco; Seiler Zimmermann, Yvonne; Zimmermann, Heinz - In: Empirical economics : a journal of the Institute for … 56 (2019) 4, pp. 1359-1382
Persistent link: https://www.econbiz.de/10012052196
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - In: Journal of banking & finance 77 (2017), pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
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Price discovery and volatility spillover in spot and futures markets : evidences from steel-related commodities in China
Kim, Kyoungsu; Lim, Seok - In: Applied economics letters 26 (2019) 5, pp. 351-357
Persistent link: https://www.econbiz.de/10012204211