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A dynamic model of hedging and speculation in the commodity futures markets

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of financial markets 25 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011477250

Intraday liquidity in soybean complex futures markets

Boer, Thomas A. P. de; Gardebroek, Cornelis; Pennings, … - In: The journal of futures markets 42 (2022) 7, pp. 1189-1211

Persistent link: https://www.econbiz.de/10013287941

Futures markets and fundamentals of base metals

Fernández, Viviana - In: International review of financial analysis 45 (2016), pp. 215-229

Persistent link: https://www.econbiz.de/10011581979

Time-to-maturity and commodity futures return volatility : the role of time-varying asymmetric information

Phan Hoang Long; Zurbruegg, Ralf; Brockman, Paul; Yu, … - In: Journal of commodity markets 26 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013450908

Models with short-term variations and long-term dynamics in risk management of commodity derivatives

Guo, Zi-Yi - 2017 - This version: February 2017

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas futures contracts, gasoil futures contracts,...

Persistent link: https://www.econbiz.de/10011721302

Commodities and commodity derivatives : modeling and pricing for agriculturals, metals and energy

Geman, Hélyette - 2005

-- Stochastic modelling of commodity price processes -- Plain-vanilla option pricing and hedging -- Risk-neutral valuation of plain … markets -- The structure of metal markets and metal prices -- The oil market as a world market -- The gas market as the energy …

Persistent link: https://www.econbiz.de/10002392736

Price volatility and futures margins

Hardouvelis, Gikas A. - In: The journal of futures markets 16 (1996) 1, pp. 81-111

Persistent link: https://www.econbiz.de/10001193435

Do hedging and speculative pressures drive commodity prices, or the other way round?

Lehecka, Georg V. - In: Empirical economics : a journal of the Institute for … 49 (2015) 2, pp. 575-603

Persistent link: https://www.econbiz.de/10011333378

Comparison of some static hedging models of agricultural commodities price uncertainty

Kamdem, Jules Sadefo; Moumouni, Zoulkiflou - In: Journal of quantitative economics 18 (2020) 3, pp. 631-655

Persistent link: https://www.econbiz.de/10012418858

Hedging pressure and speculation in commodity markets

Ekeland, Ivar; Lautier, Delphine; Villeneuve, Bertrand - In: Economic theory : official journal of the Society for … 68 (2019) 1, pp. 83-123

Persistent link: https://www.econbiz.de/10012056046

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