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The stochastic behavior of commodity prices : implications for valuation and hedging
Schwartz, Eduardo S. - In: The journal of finance : the journal of the American … 52 (1997) 3, pp. 923-973
Persistent link: https://www.econbiz.de/10001225632
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Forecasting copper prices with dynamic averaging and selection models
Buncic, Daniel; Moretto, Carlo - 2014
Persistent link: https://www.econbiz.de/10010437480
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010407524
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Forecasting the price of gold using dynamic model averaging
Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - In: International review of financial analysis 41 (2015), pp. 257-266
Persistent link: https://www.econbiz.de/10011508954
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Multifractal behavior in precious metals : wavelet coherency and forecasting by VARIMA and V-FARIMA models
Doğangün, Itir; Ünal, Gazanfer - In: Annals of financial economics 14 (2019) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10012030827
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Analyzing time-frequency co-movements across gold and oil prices with BRICS stock markets : a VaR based on wavelet approach
Mensi, Walid; Hkiri, Besma; Al-Yahyaee, Khamis Hamed; … - In: International review of economics & finance : IREF 54 (2018), pp. 74-102
Persistent link: https://www.econbiz.de/10012033348
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What determines the gold inflation relation in the long-run?
Kumar, Satish - In: Studies in economics and finance 34 (2017) 4, pp. 430-446
Persistent link: https://www.econbiz.de/10011961089
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Trend of oil prices, gold, GCC stocks market during Covid-19 pandemic : a wavelet approach
Rafiuddin, Aqila; Daffodils, Jennifer; Gaytan, Jesus … - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 4, pp. 560-572
Persistent link: https://www.econbiz.de/10012629887
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Price mean reversion, seasonality, and options markets
Hart, Chad E.; Lence, Sergio H.; Hayes, Dermot James; Na Jin - In: American journal of agricultural economics 98 (2016) 3, pp. 707-725
Persistent link: https://www.econbiz.de/10011635129
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On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
Cacace, Filippo; Germani, Alfredo; Papi, Marco - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 503-525
Persistent link: https://www.econbiz.de/10012127257