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Pricing of derivatives on commodity indices
Rauch, Johannes; Krayzler, Mikhail; Brunner, Bernhard; … - In: International review of financial analysis 29 (2013), pp. 143-151
Persistent link: https://www.econbiz.de/10010244113
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Portfolio speculation and commodity price volatility in a stochastic storage model
Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532
Persistent link: https://www.econbiz.de/10010411908
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Understanding momentum in commodity markets
Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402
Persistent link: https://www.econbiz.de/10010203400
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Financialization in commodity markets : disentangling the crisis from the style effect ; conference paper
Adams, Zeno; Glück, Thorsten - 2013
In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...
Persistent link: https://www.econbiz.de/10010339396
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Did long-short investors destabilize commodity markets
Miffre, Joëlle; Brooks, Chris - 2013
Persistent link: https://www.econbiz.de/10009782761
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"Time series momentum" in commodity markets
Chevallier, Julien; Ielpo, Florian - In: Managerial finance 40 (2014) 7, pp. 662-680
Persistent link: https://www.econbiz.de/10010391104
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Dynamic commodity portfolio management : a regime-switching VAR model
Singhal, Shelly; Biswal, Pratap Chandra - In: Global business review 22 (2021) 2, pp. 532-549
Persistent link: https://www.econbiz.de/10012520247
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Energy commodity price risk minimization with precious metals in a multivariate portfolio
Živkov, Dejan; Damnjanović, Jelena; … - In: Finance a úvěr 72 (2022) 1, pp. 50-70
Persistent link: https://www.econbiz.de/10013189236
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Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total … transmitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest …
Persistent link: https://www.econbiz.de/10012305145
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Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Al-Jarrah, … - In: The North American journal of economics and finance : a … 49 (2019), pp. 104-120
Persistent link: https://www.econbiz.de/10012269157