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Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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Pricing of electricity swaps with geometric averaging
Kemper, Annika; Schmeck, Maren Diane - 2023
, characterized either by seasonality in the delivery period or by a term-structure effect, and identify the resulting MPDP in both …
Persistent link: https://www.econbiz.de/10014277000
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The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika; Schmeck, Maren D.; Balci, Anna KH. - 2020
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...
Persistent link: https://www.econbiz.de/10012216375
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The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices
Behmiri, Niaz Bashiri; Manera, Matteo - 2015
This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...
Persistent link: https://www.econbiz.de/10011451148
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The role of outliers and oil price shocks on volatility of metal prices
Behmiri, Niaz Bashiri; Manera, Matteo - 2015
This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...
Persistent link: https://www.econbiz.de/10011327443
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Financialization in commodity markets : disentangling the crisis from the style effect
Adams, Zeno; Glück, Thorsten - 2014
, has changed the behavior and dependence structure between commodities and the general stock market. The common perception … argue that commodities have become an investment style for institutional investors. Given that institutional investors … continue to target funds into commodities, we predict spillovers between commodities and the stock market to remain high in the …
Persistent link: https://www.econbiz.de/10010410769
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Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures
Bohl, Martin T. - 2018
Chinese futures markets for agricultural commodities are among the fastest growing futures markets in the world and … speculative activity in Chinese futures markets for agricultural commodities destabilizes futures returns. To capture speculative …-lag relationship between speculative activity and returns volatility. For most of the commodities, we find a positive influence of the …
Persistent link: https://www.econbiz.de/10012929811
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Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? : ein Literaturüberblick zum aktuellen Stand der empirischen Forschung
Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012
financial speculation on the markets for agricul-tural commodities: According to this current state of research, there is little …
Persistent link: https://www.econbiz.de/10011784178
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Volatility transmission in agricultural futures markets
Beckmann, Joscha; Czudaj, Robert - In: Economic Modelling 36 (2014) C, pp. 541-546
After the huge rise and fall of agricultural commodity spot and futures prices between 2007 and 2008, the potential reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the academic literature. However, owing to the increasing...
Persistent link: https://www.econbiz.de/10010729827
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Financialization in commodity markets : disentangling the crisis from the style effect ; conference paper
Adams, Zeno; Glück, Thorsten - 2013
, has changed the behavior and dependence structure between commodities and the general stock market. The common perception … argue that commodities have become an investment style for institutional investors. Given that institutional investors … continue to target funds into commodities, we predict spillovers between commodities and the stock market to remain high in the …
Persistent link: https://www.econbiz.de/10010339396