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The shape of the treasury yield curve and commodity prices

Bayaa, Yasmeen; Qadan, Mahmoud - In: International review of financial analysis 94 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014543998

Wilmot, Neil A. - In: International Journal of Financial Studies : open … 7 (2019) 2/33, pp. 1-14

prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes … metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … complex processes contributed to the fatness of the tails in the distribution of heavy metal price returns. …

Persistent link: https://www.econbiz.de/10012038566

Volatility and price information contained in selected agricultural futures options

Egelkraut, Thorsten Michael - 2005

Persistent link: https://www.econbiz.de/10003380192

Portfolio speculation and commodity price volatility in a stochastic storage model

Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532

Persistent link: https://www.econbiz.de/10010411908

Valuing long-term commodity assets

Schwartz, Eduardo S. - In: Journal of energy finance & development 3 (1998) 2, pp. 85-99

Persistent link: https://www.econbiz.de/10001445708

Pricing term structure risk in futures markets

Nijman, Theodore E.; Roon, Frans de; Veld, Chris H. - 1996

Persistent link: https://www.econbiz.de/10000944055

Volatility Term Structures in Commodity Markets

Hollstein, Fabian - 2019

In this study, we comprehensively examine the volatility term structures in commodity markets. We model state-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity market. We detect strong economic links and a...

Persistent link: https://www.econbiz.de/10012858896

Economic determinants of oil futures volatility : term structure perspective

Kang, Boda; Nikitopoulos, Christina Sklibosios; … - In: Energy economics 88 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012515144

Shock propagation across the futures term structure : evidence from crude oil prices

Lautier, Delphine H.; Raynaud, Franck; Robe, Michel A. - In: The energy journal 40 (2019) 3, pp. 125-153

Persistent link: https://www.econbiz.de/10012053253

Stochastic ordering of systemic risk in commodity markets

Morelli, Giacomo - In: Energy economics 117 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014437140

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