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Byrne, Joseph P.; Sakemoto, Ryuta - 2022

Persistent link: https://www.econbiz.de/10013478831

Cartea, Álvaro - 2015

Agents who acknowledge that their models are incorrectly specified are said to be ambiguity averse, and this affects the prices they are willing to trade at. Models for prices of commodities attempt to capture three stylized features: seasonal trend, moderate deviations (a diffusive factor), and...

Persistent link: https://www.econbiz.de/10013022682

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

Impact of speculation and economic uncertainty on commodity markets

Andreasson, Pierre; Bekiros, Stelios; Nguyen, Duc Khuong; … - In: International review of financial analysis 43 (2016), pp. 115-127

Persistent link: https://www.econbiz.de/10011623721

The economic drivers of commodity market volatility

Prokopczuk, Marcel; Stancu, Andrei; Symeonidis, Lazaros - In: Journal of international money and finance 98 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012140078

A Model-based Commodity Risk Measure on Commodity and Stock Market Returns

Hou, Ai Jun; Platanakis, Emmanouil; Ye, Xiaoxia; Zhou, Guofu - 2022

structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets … it, implying it has substantial new information. Moreover, various aggregations of individual commodity CDP predict …

Persistent link: https://www.econbiz.de/10014239736