Hedging strategies for commodity prices largely rely on dynamic models to compute optimal hedge ratios. This paper … effect in commodity hedging strategies … illustrates the importance of considering the commodity inventory effect (effect by which the commodity price volatility increases …

inflation in the medium term, whilst at the same time the pass-through of exogenous commodity price shocks from the headline to … makers which could price the derivative based on the cross-hedging potential of commodities …

markets of a commodity. This model provides a unifying framework for the hedging pressure and storage theories. The model … shows a variety of behaviors at equilibrium that can be used to analyze price relations for any commodity. Further, through … a comparative statics analysis, we precisely identify the losers and winners in the financialization of the commodity …

What can we learn about a physical commodity by studying its hedging characteristics? We use a hedging study to shed … consistent evidence to support the "simple is better" hypothesis in relation to hedging models. Finally we caution against …

-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …

This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less … frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity …

This review article describes the main contributions in the literature on term structure models of commodity prices … traditional theories of commodity prices and to their explanation of the relationship between spot and futures prices. The … structure models of commodity prices. The presentation shows that these models differ on the nature and the number of factors …

This review article describes the main contributions in the literature on term structure models of commodity prices … traditional theories of commodity prices and to their explanation of the relationship between spot and futures prices. The … structure models of commodity prices. The presentation shows that these models differ on the nature and the number of factors …

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial …. Liquidity commonality was present in 1997–2003 when commodity prices were relatively stable and during the recent boom. There is … consistent link between stock and commodity liquidity in general. Energy commodities appear to provide a better hedge against …