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The Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield

Nakajima, Katsushi - 2018

This paper studies commodity spot, forward, and futures prices under a continuous-time setting. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and trades forward or futures commodities to hedge. Through the...

Persistent link: https://www.econbiz.de/10012936304

Pricing of Long-Dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates

Cheng, Benjamin - 2016

, Jarrow, and Morton (1992) framework for commodity futures prices that incorporates stochastic volatility and stochastic … interest rate and allows a correlation structure between the futures price process, the futures volatility process and the … interest rate process. The functional form of the futures price volatility is specified so that the model admits finite …

Persistent link: https://www.econbiz.de/10013002024

Determinants of Silver Futures Price Volatility : Evidence from the Thailand Futures Exchange

Jongadsayakul, Woradee - 2016

This research studies determinants of silver futures price volatility in Thailand Futures Exchange using generalized …. The empirical results reveal there is no significant relationship between volatility and time to expiration. There are a … negative role for trading volume and a positive role for open interest in determining silver futures price volatility. The …

Persistent link: https://www.econbiz.de/10013003745

Time-Frequency Analysis of Crude Oil and S&P500 Futures Contracts

McCarthy, Joseph - 2014

We use frequency-domain techniques, namely wavelets and cross-spectra, to examine the association between the daily prices of crude oil futures and daily S&P500 futures closing prices over the past several decades. We investigate contemporaneous and lag-lead relationships in levels and returns....

Persistent link: https://www.econbiz.de/10013055630

The Return and Volatility Spillover between Carbon Futures Market and Global Financial, Energy and Commodity Futures Markets

Li, Ziran - 2015

investigates the return and volatility transmission between carbon futures price and a data set of 19 financial, energy and … strong. Despite that spillovers in different phases are different, volatility linkage between carbon futures markets and …

Persistent link: https://www.econbiz.de/10013021794

When Pep comes calling, the oil market answers : the effect of football player transfer movements on abnormal fluctuations in oil price futures

Do, Hung Xuan; Nguyen, Quan M. P.; Nepal, Rabindra; … - In: Energy economics 100 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012990255

Returns and volatilities of energy futures markets : roles of speculative and hedging sentiments

Chen, Rongda; Wei, Bo; Jin, Chenglu; Liu, Jia - In: International review of financial analysis 76 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012805056

Sentiment-Prone Investors and Volatility Dynamics between Spot and Futures Markets

Corredor, Pilar - 2014

volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in … sentiment. Moreover, volatility shocks in either market are also found to have less impact during these periods. These results …

Persistent link: https://www.econbiz.de/10013044815

Forecasting volatility in the petroleum futures markets : a re-examination and extension

Hasanov, Akram Shavkatovich; Shaiban, Mohammed Sharaf; … - In: Energy economics 86 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012511802

Tail risk of electricity futures

Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012518716