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Jumps in commodity markets
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show...
Persistent link: https://www.econbiz.de/10011751125
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Wave after Wave : Contagion Risk from Commodity Markets
Algieri, Bernardina - 2017
The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this purpose, we use the delta Conditional Value-at-Risk ΔCoVaR)...
Persistent link: https://www.econbiz.de/10012954826
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Wave after wave : contagion risk from commodity markets
Algieri, Bernardina; Leccadito, Arturo - 2017
The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this purpose, we use the delta Conditional Value-at-Risk CoVaR)...
Persistent link: https://www.econbiz.de/10011656414
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Moderators of pricing and willingness to pay for parametric weather risk mitigants in agriculture : an integrative review, conceptual framework, and research agenda
Gairola, Gaurav; Dey, Kushankur - In: Cogent economics & finance 11 (2023) 2, pp. 1-23
The agriculture sector observed the penetration of parametric weather risk financial products, including weather index insurance and weather derivatives, between the late 1990s and the early 2000s. However, the adoption of such products remains low. While the reasons for low adoption are...
Persistent link: https://www.econbiz.de/10014502820
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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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A deep learning-based financial hedging approach for the effective management of commodity risks
Hu, Yan; Ni, Jian - In: The journal of futures markets 44 (2024) 6, pp. 879-900
Persistent link: https://www.econbiz.de/10014536702
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Managing commodity risk : using commodity futures and options
Stephens, John J. - 2000
Persistent link: https://www.econbiz.de/10001512017
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Evaluation of Different Hedging Strategies for Commodity Price Risks of Industrial Cogeneration Plants
Palzer, Andreas - 2013
In this paper, we design and evaluate eight different strategies for hedging commodity price risks of industrial …-variance portfolio analysis for determining the most efficient hedging strategy. We find that the strategy adopted can have a marked …, portfolio optimization shows that a mix of various hedging strategies can further improve the profitability of a heat …
Persistent link: https://www.econbiz.de/10013073082
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Commodity Investing Risks
Till, Hilary - 2015
This paper will cover investing in commodities through futures contracts. It will note the unique sources of risk and return for such investments. We will also discuss the factors that one should take into consideration before deciding upon how much of their portfolio should be in commodities....
Persistent link: https://www.econbiz.de/10013018180
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Stochastic seasonality in commodity prices : the case of US natural gas
Chen, Sheng-Hung; Song Zan Chiou Wei; Zhu, Zhen - In: Empirical economics : a quarterly journal of the … 62 (2022) 5, pp. 2263-2284
Persistent link: https://www.econbiz.de/10013197300