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Volatility spillovers arising from the financialization of commodities

Shelton, Bryce; Chan, Wing Hong - 2016

Persistent link: https://www.econbiz.de/10011798631

Commodity Pricing : Time-Varying Discount Rates vs. Investors’ Heterogeneity

Bredin, Donal; Potì, Valerio; Salvador, Enrique - 2023

On the 30th anniversary of the seminal article by Pindyck (1993), we re-evaluate the evidence for the classical rational model of commodity prices, extending it to admit time- varying discount rates, investors’ heterogeneity or both. Discount factors specifications are flexible enough to allow...

Persistent link: https://www.econbiz.de/10014351164

Futures price volatility in commodities markets : the role of short term vs long term speculation

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt … four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long … speculators over total open interest in future markets, which proxy for long term speculation, and scalping, which proxies for …

Persistent link: https://www.econbiz.de/10009756298

Food prices, ethics and forms of speculation

Bredin, Donal; Potì, Valerio; Salvador, Enrique - 2020

Persistent link: https://www.econbiz.de/10012418353

Long-short speculator sentiment in agricultural commodity markets

Borgards, Oliver; Czudaj, Robert - 2022

This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...

Persistent link: https://www.econbiz.de/10012818066

Effects of index-fund investing on commodity futures prices

Hamilton, James D.; Wu, Jing Cynthia - 2014

Persistent link: https://www.econbiz.de/10010254330

A model of financialization of commodities

Başak, Suleyman; Pavlova, Anna - 2015

Persistent link: https://www.econbiz.de/10011299571

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a fractionally cointegrated model can provide statistically and/or economically significant forecasts of commodity returns. Specifically, we propose to model and forecast commodity...

Persistent link: https://www.econbiz.de/10010464770

Internet, noise trading and commodity prices

Peri, Massimo; Vandone, Daniela; Baldi, Lucia - 2012

Persistent link: https://www.econbiz.de/10011759934

Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets

Palanska, Tereza - 2018

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on realized measures and forecast error variance decomposition invariant to the variable ordering from vector-autoregressions. This enables us to measure total, directional and net...

Persistent link: https://www.econbiz.de/10011914776

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