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Pricing term structure risk in futures markets

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

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

Black Gold & Fool’s Gold : Speculation in the Oil Futures Market

Parsons, John E. - 2009

what is known about the level of speculation in the paper oil market. We then analyze the dynamics of the term structure of …

Persistent link: https://www.econbiz.de/10013156297

Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs

Kang, Sang Hoon; Hernandez, Jose Arreola; Sadorsky, Perry A. - In: Energy economics 99 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012939407

The Return-Volatility Relation in Commodity Futures Markets

Chiarella, Carl - 2015

structure of futures prices. The empirical results indicate a positive relation in the gold futures market and a negative … changes in the commodity futures markets is analysed. An extensive daily database of gold and crude oil futures and futures … relation in the crude oil futures market, especially over periods of high volatility principally driven by market-wide shocks …

Persistent link: https://www.econbiz.de/10013021167

Measuring the Alpha and Beta of High Volatility Commodity Futures Contracts of Hedge Funds. The Futures Contracts Are Gold, Silver, Zinc, Palladium and Platinum

Guirguis, Michel - 2021

futures contracts under study are gold, silver, zinc, palladium and platinum. Combining managed futures with shares and bonds …

Persistent link: https://www.econbiz.de/10013232471

Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications

Naeem, Muhammad Abubakr; Hasan, Mudassar; Arif, Muhammad; … - In: Energy economics 105 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013201963

Does Bitcoin hedge crude oil implied volatility and structural shocks? : a comparison with gold, commodity and the US Dollar

Das, Debojyoti; Le Roux, Corlise L.; Jana, R. K.; … - In: Finance research letters 36 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012483345

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial innovation : FIN 6 (2020) 53, pp. 1-29

less attractive than money market instruments and gold. This study also implies that risk-averse investors should prefer to …The previous studies have shown that capital market integration has increased in the ASEAN-5, implying that investors … effectiveness of put replication, gold, and oil on hedge equities in the ASEAN-5 (Indonesia, Malaysia, Singapore, Thailand, and the …

Persistent link: https://www.econbiz.de/10012418412

Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks

Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948

Persistent link: https://www.econbiz.de/10012497080

The return-volatility relation in commodity futures markets

Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: The journal of futures markets 36 (2016) 2, pp. 127-152

Persistent link: https://www.econbiz.de/10011568056