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Stationarity changes in long-run energy commodity prices
Zaklan, Aleksandar; Abrell, Jan; Neumann, Anne - In: Energy economics 59 (2016), pp. 96-103
Persistent link: https://www.econbiz.de/10011699492
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A panel stationarity test with gradual structural shifts : re-investigate the international commodity price shocks
Nazlıoğlu, Şaban; Karul, Cagin - In: Economic modelling 61 (2017), pp. 181-192
Persistent link: https://www.econbiz.de/10011736829
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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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The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
Liu, Peng; Tang, Ke - In: Journal of empirical finance 18 (2011) 2, pp. 211-224
Persistent link: https://www.econbiz.de/10009301130
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Bayesian state-space estimation of stochastic volatility for storable commodities
Karali, Berna; Power, Gabriel J.; Ishdorj, Ariun - In: American journal of agricultural economics 93 (2011) 2, pp. 434-440
Persistent link: https://www.econbiz.de/10009374045
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Time-variations in commodity price jumps
Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
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World wheat price volatility : selected scenario analyses
Thompson, Wyatt; Smith, Garry D.; Elasri, Armelle - 2012
This study complements OECD analyses on commodity price volatility by providing quantitative assessments of the impact … volatility. The factors examined relate to changes in demand in the large emerging countries of the BRICs (comprising Brazil, the … volatility by examining some effects of a hypothetical international buffer stockholding scheme to stabilise international wheat …
Persistent link: https://www.econbiz.de/10009683275
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Valuing long-term commodity assets
Schwartz, Eduardo S. - In: Journal of energy finance & development 3 (1998) 2, pp. 85-99
Persistent link: https://www.econbiz.de/10001445708
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Jumps in Commodity Markets
Nguyen, Duc Binh Benno - 2019
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/10012900597
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Time-Variations in Commodity Price Jumps
Diewald, Laszlo - 2019
, i.e. exhibits seasonality. We propose a stochastic volatility jump-diffusion model to capture this seasonal variation …
Persistent link: https://www.econbiz.de/10012905261