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Partially overlapping time series : a new model for volatility dynamics in commodity futures

Smith, Aaron D. - In: Journal of applied econometrics 20 (2005) 3, pp. 405-422

Persistent link: https://www.econbiz.de/10002807215

Spice price spikes : simulating impacts of Saffron price volatility in a gendered local economy-wide model

Filipski, Mateusz; Aboudrare, Abdellah; Lybbert, Travis J. - In: World development : the multi-disciplinary … 91 (2017), pp. 84-99

Persistent link: https://www.econbiz.de/10011750314

Partially overlapping time series : a new model for volatility dynamics in commodity futures

Smith, Aaron D. (contributor) - 2004

Persistent link: https://www.econbiz.de/10003729960

Volatility dynamics of NYMEX natural gas futures prices

Suenaga, Hiroaki; Smith, Aaron D.; Williams, Jeffrey - In: The journal of futures markets 28 (2008) 5, pp. 438-463

Persistent link: https://www.econbiz.de/10003699693

Volatility dynamics and seasonality in energy prices : implications for crack-spread price risk

Suenaga, Hiroaki; Smith, Aaron D. - In: The energy journal 32 (2011) 3, pp. 27-58

Persistent link: https://www.econbiz.de/10009309725

Deconstructing wheat price spikes : a model of supply and demand, financial speculation, and commodity price comovement

Janzen, Joseph; Carter, Colin Andre; Smith, Aaron D.; … - 2014

Persistent link: https://www.econbiz.de/10010372657

Volatility dynamics of NYMEX natural gas futures prices

Suenaga, Hiroaki (contributor); Smith, Aaron D. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003396527

State prices of conditional quantiles : new evidence on time variation in the pricing kernel

Metaxoglou, Konstantinos; Smith, Aaron D. - In: Journal of applied econometrics 32 (2017) 1, pp. 192-217

Persistent link: https://www.econbiz.de/10011688517

Commodity price comovement and financial speculation : the case of cotton

Janzen, Joseph P.; Smith, Aaron D.; Carter, Colin Andre - In: American journal of agricultural economics 100 (2018) 1, pp. 264-285

Persistent link: https://www.econbiz.de/10011959365

State Prices of Conditional Quantiles : New Evidence on Time-Varying Expected Returns

Metaxoglou, Konstantinos - 2011

We develop statistics to represent the option implied stochastic discount factor for S&P 500 returns between 1990 and 2008. Our statistics, which we call State Prices of Conditional Quantiles (SPOCQ), estimate the market's willingness to pay for insurance against outcomes in various quantiles of...

Persistent link: https://www.econbiz.de/10013119101