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Futures basis, inventory and commodity price volatility : an empirical analysis
Symeonidis, Lazaros; Prokopczuk, Marcel; Brooks, Chris; … - In: Economic modelling 29 (2012) 6, pp. 2651-2663
Persistent link: https://www.econbiz.de/10009673627
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Convenience yields as call options : an empirical analysis
Milonas, Nikolaos T. - In: The journal of futures markets 17 (1997) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10001216346
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Introducing distances between commodity markets : the case of the US and UK natural gas
Geman, Hélyette; Liu, Bo - In: Advanced modelling in mathematical finance : in honour …, (pp. 93-105). 2016
Persistent link: https://www.econbiz.de/10011800340
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The dynamics of commodity spot and futures markets : a primer
Pindyck, Robert S. - In: The energy journal 22 (2001) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10001594337
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Quantifying the announcement effects in the U.S. lumber futures market
Ismailova, Zarina; Etienne, Xiaoli Liao; Shakya, Shishir; … - In: Journal of forest economics : JFE 35 (2020) 4, pp. 375-395
Persistent link: https://www.econbiz.de/10012630842
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Weather, storage, and natural gas price dynamics : fundamentals and volatility
Mu, Xiaoyi - In: Energy economics 29 (2007) 1, pp. 46-63
Persistent link: https://www.econbiz.de/10003413300
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Volatility in natural gas and oil markets
Pindyck, Robert S. - In: The Journal of energy and development 30 (2004) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10002235616
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The information value of excessive speculative trades on price volatility in oil futures markets
Chan, Leo H.; Nguyen, Chi M.; Chan, Kam C. - In: International financial markets, (pp. 1-24). 2013
Persistent link: https://www.econbiz.de/10010204802
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Volatility Spillovers between Spot and Futures Markets : An Empirical Study on U.S. Agricultural Commodities
Palaniappan Shanmugam, Velmurugan - 2017
.S. agricultural commodities market, a comprehensive study on the volatility spillover between the spot and futures markets of 12 … agricultural commodities is carried out to understand the dynamics of volatility factors which hinder the efficiency of those … arriving at relative conclusions. The Granger Causality Test results on the direction of flow of volatility between the spot …
Persistent link: https://www.econbiz.de/10012955545
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New empirical evidence in support of the theory of price volatility of storable commodities under rational expectations in spot and futures markets
Goetz, Cole; Miljkovic, Dragan; Barabanov, Nikita - In: Energy economics 100 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012990234