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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
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Volatility transmission and market connectivity of metals and energy commodities : insights from the spillover index
Tessmann, Mathias; Gutiérrez, Carlos Enrique Carrasco; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 609-618
Persistent link: https://www.econbiz.de/10014533484
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Inventory shocks and the Great Moderation
Morley, James C.; Singh, Aarti - In: Journal of money, credit and banking : JMCB 48 (2016) 4, pp. 699-728
Persistent link: https://www.econbiz.de/10011615552
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The effects of decision making on futures price volatility
Hennessy, David A. - In: American journal of agricultural economics 78 (1996) 3, pp. 591-603
Persistent link: https://www.econbiz.de/10001210751
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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
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Dynamic spillover effects in futures markets : UK and US evidence
Antonakakis, Nikolaos; Floros, Christos; Kizys, Renatas - In: International review of financial analysis 48 (2016), pp. 406-418
Persistent link: https://www.econbiz.de/10011624538
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Internet, noise trading and commodity prices
Peri, Massimo; Vandone, Daniela; Baldi, Lucia - 2012
Persistent link: https://www.econbiz.de/10011759934
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Variance risk in commodity markets
Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: Journal of banking & finance 81 (2017), pp. 136-149
Persistent link: https://www.econbiz.de/10011816431
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Propagation of commodity market shocks
Marini, Annalisa; McCorriston, Steve - 2017
Persistent link: https://www.econbiz.de/10011898902
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Nonlinear intermediary pricing in the oil futures market
Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...
Persistent link: https://www.econbiz.de/10011790776