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The costs of commodity price uncertainty instability
Powell, Andrew - 1992 - rev
Persistent link: https://www.econbiz.de/10000137670
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Das Rohstoffversorgungsrisiko in offenen Volkswirtschaften
Behrens, Axel - 1990
Persistent link: https://www.econbiz.de/10000080846
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The properties of equally weighted risk contribution portfolios
Maillard, Sébastien; Roncalli, Thierry; Teïletche, … - In: The journal of portfolio management : a publication of … 36 (2009/10) 4, pp. 60-70
Persistent link: https://www.econbiz.de/10008652158
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Contracts for changing times : sourcing with raw material price volatility and information asymmetry
Zhang, Wei; Zhou, Deke; Liu, Liwen - In: Manufacturing & service operations management : M & SOM 16 (2014) 1, pp. 133-148
Persistent link: https://www.econbiz.de/10010339102
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Modelowanie wielowymiarowych struktur danych i analiza ryzyka
Trzpiot, Grażyna (ed.) - 2015
Persistent link: https://www.econbiz.de/10011526489
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Macroeconomic uncertainty : does it matter for commodity prices?
Yin, Libo; Han, Liyan - In: Applied economics letters 21 (2014) 10/12, pp. 711-716
Persistent link: https://www.econbiz.de/10010416340
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Risk sensitive stabilization policies in commodity markets : a simulation study
Sengupta, Jati K. - In: Economic modelling 11 (1994) 3, pp. 375-384
Persistent link: https://www.econbiz.de/10001166702
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Never a Dull Moment : Entropy Risk in Commodity Markets
Chabi-Yo, Fousseni - 2020
We develop a new approach to determine investors' risk compensations for all distributional moments of a security … returns and their compensation for entropy risk. Entropy risk premium (ERP), the difference of entropy under the physical and … risk-neutral measures, indicates the cost to financially hedge against changes in risks associated with the entire return …
Persistent link: https://www.econbiz.de/10012850653
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Model Uncertainty in Commodity Markets
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
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The dynamic spillover effects of macroeconomic and financial uncertainty on commodity markets uncertainties
Ben Haddad, Hedi; Mezghani, Imed; Gouider, Abdessalem - In: Economies : open access journal 9 (2021) 2, pp. 1-22
The present paper has two main objectives: first, to accurately estimate commodity price uncertainty; and second to analyze the uncertainty connectedness among commodity markets and the macroeconomic uncertainty, using the time-varying vector-autoregressive (TVP-VAR) model. We use eight main...
Persistent link: https://www.econbiz.de/10012548331