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Risk premia in electricity derivatives markets

Algieri, Bernardina; Leccadito, Arturo; Tunaru, Diana - In: Energy economics 100 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012990257

Conditional price volatility, speculation, and excessive speculation in commodity markets : sheep or shepherd behaviour?

Algieri, Bernardina - In: International review of applied economics 30 (2016) 2, pp. 210-237

Persistent link: https://www.econbiz.de/10011472467

Price volatility, speculation and excessive speculation in commodity markets : sheep or shepherd behaviour?

Algieri, Bernardina - 2012

The present study aims to investigate the dynamics of primary commodity prices and the role of speculation over time. In particular the relationship between speculation and price volatility on the one side, and the linkage between excessive speculation and price volatility on the other side, is...

Persistent link: https://www.econbiz.de/10009540736

A reduced lattice model for option pricing under regime-switching

Costabile, Massimo; Leccadito, Arturo; Massabo, Ivar; … - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 667-690

Persistent link: https://www.econbiz.de/10010433525

Compound option pricing under stochastic volatility

Leccadito, Arturo; Russo, Emilio - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 97-110

Persistent link: https://www.econbiz.de/10011742310

Drivers and triggers of international food price spikes and volatility

Algieri, Bernardina; Tadesse, Getaw; Kalkuhl, Matthias; … - In: Food policy : economics planning and politics of food … 47 (2014), pp. 117-128

Persistent link: https://www.econbiz.de/10010485154

Price Volatility, Speculation and Excessive Speculation in Commodity Markets : Sheep or Shepherd Behaviour?

Algieri, Bernardina - 2012

Persistent link: https://www.econbiz.de/10013105680

Stock market volatility, speculation and unemployment : a Granger-causality analysis

Algieri, Bernardina; Brancaccio, Emiliano; Buonaguidi, … - In: PSL quarterly review 73 (2020) 293, pp. 137-160

This study investigates the possible Granger-causal relations between stock price volatility and dividend dynamics on the one hand, and speculation and unemployment on the other. The analysis is carried out for the US over the period 1982-2018. Stock price volatility is calculated in terms of...

Persistent link: https://www.econbiz.de/10012288289

A tale of two tails : explaining extreme events in financialized agricultural markets

Algieri, Bernardina; Kalkuhl, Matthias; Koch, Nikolas - In: Food policy : economics planning and politics of food … 69 (2017), pp. 256-269

Persistent link: https://www.econbiz.de/10011797967