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Returns in Commodities Futures Markets and Financial Speculation : A Multivariate GARCH Approach

Manera, Matteo - 2013

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in …

Persistent link: https://www.econbiz.de/10013091156

Returns in commodities futures markets and financial speculation : a multivariate GARCH approach

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … ; Futures Markets ; Financial Speculation ; Multivariate GARCH …

Persistent link: https://www.econbiz.de/10009535531

Dating common commodity price and inflation shocks with alternative approaches

Esposti, Roberto - In: Bio-based and applied economics 13 (2024) 2, pp. 171-201

This paper investigates the occurrence of common price shocks (co-exceedance) across different commodities. IMF monthly price series of 11 commodities are considered over the 1980-2021 period. The analysis considers two alternative stochastic processes. The first looks for common volatility...

Persistent link: https://www.econbiz.de/10015047658

Speculation in Food and Commodities A Research Report A Critical Discussion of the Econometric Research Method and an Alternative Analysis

Conrad, Christian - 2023

This paper is a report of the research on the effect of speculation on commodities and food since deregulation …. Econometrics can be applied to show how speculation influences price and vice versa. However, there is no clear empirical picture … verifiable facts as method of investigation. This method allows us to derive the influence of speculation on spot prices. We find …

Persistent link: https://www.econbiz.de/10014344886

Modeling fluctuations in the global demand for commodities

Kilian, Lutz; Zhou, Xiaoqing - 2017

It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic...

Persistent link: https://www.econbiz.de/10011754229

Modeling fluctuations in the global demand for commodities

Kilian, Lutz; Zhou, Xiaoqing - 2018

Persistent link: https://www.econbiz.de/10011781690

Modeling Fluctuations in the Global Demand for Commodities

Kilian, Lutz - 2018

Persistent link: https://www.econbiz.de/10012930077

Willingness to Pay of the Expo-Power Utility Decision Maker to Limit Climate Change

Sadefo Kamdem, Jules; AKAME, David - 2020

This paper extends the work of Pindyck [1] by taking into consideration a large class family of different utility functions of economic agents. As in Pindyck [1], instead of considering a social utility function that is characterized by constant relative risk aversion (C.R.R.A), we use the...

Persistent link: https://www.econbiz.de/10014102199

Flexible Modeling of Multivariate Risks in Pricing Margin Protection Insurance : Modeling Portfolio Risks with Mixtures of Mixtures

Zeytoon Nejad Moosavian, Seyyed Ali - 2018

Persistent link: https://www.econbiz.de/10012914055

Price Discovery in Commodity Futures and Cash Markets with Heterogenous Agents

van Huellen, Sophie - 2019

The paper develops a price discovery model for commodity futures markets that accounts for two forms of limits to arbitrage caused by transaction costs and noise trader risk. Four market regimes are identified: (1) effective arbitrage, (2) transaction costs but no noise trader risk, (3) no...

Persistent link: https://www.econbiz.de/10012890149