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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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What drives the commodity price beta of oil industry stocks?
Talbot, Edward; Artiach, Tracy; Faff, Robert W. - In: Energy economics 37 (2013), pp. 1-15
Persistent link: https://www.econbiz.de/10009759405
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On Commodity Price Limits
Janardanan, Rajkumar - 2019
commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of … temporary volatility induced by the trading of non-commercial market participants (speculators). We find little evidence that …
Persistent link: https://www.econbiz.de/10012900566
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Long-run reversal in commodity returns : insights from seven centuries of evidence
Zaremba, Adam; Bianchi, Robert; Mikutowski, Mateusz - In: Journal of banking & finance 133 (2021), pp. 1-25
Persistent link: https://www.econbiz.de/10013256444
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Does institutional trading drive commodities prices away from their fundamentals : evidence from a nonparametric causality-in-quantiles test
Babalos, Vassilios; Balcilar, Mehmet - In: Finance research letters 21 (2017), pp. 126-131
Persistent link: https://www.econbiz.de/10011807522
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How do bond, equity and commodity cycles interact?
Narayan, Paresh Kumar; Thuraisamy, Kannan Sivananthan; … - In: Finance research letters 21 (2017), pp. 151-156
Persistent link: https://www.econbiz.de/10011807742
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Interdependence among agricultural commodity markets, macroeconomic factors, crude oil and commodity index
Fernandez-Diaz, Jose M.; Morley, Bruce - In: Research in international business and finance 47 (2019), pp. 174-194
Persistent link: https://www.econbiz.de/10012135526
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Crude oil volatility transmission across food commodity markets : a multivariate BEKK-GARCH approach
Thenmozhi, M.; Maurya, Shipra - In: Journal of emerging market finance 20 (2021) 2, pp. 131-164
Persistent link: https://www.econbiz.de/10012592434
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Commodity correlation risk
Byrne, Joseph P.; Sakemoto, Ryuta - 2022
Persistent link: https://www.econbiz.de/10013478831
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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