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Jumps in the convenience yield of crude oil
Mason, Charles F.; Wilmot, Neil A. - In: Resource and energy economics 60 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012515262
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Convenience yield, realised volatility and jumps : evidence from non-ferrous metals
Omura, Akihiro; Li, Bin; Chung, Richard; Todorova, Neda - In: Economic modelling 70 (2018), pp. 496-510
Persistent link: https://www.econbiz.de/10012027980
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Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Lu, Xinjie; Ma, Feng; Wang, Jiqian; Liu, Jing - In: Journal of forecasting 41 (2022) 4, pp. 853-868
Persistent link: https://www.econbiz.de/10013287870
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Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)
Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176
Persistent link: https://www.econbiz.de/10011665786
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Humps in the volatility structure of the crude oil futures market : new evidence
Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy economics 40 (2013), pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994
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Pricing commodity index options
Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
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Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia; Dias, José Carlos; Nunes, … - In: The journal of futures markets 44 (2024) 3, pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
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A new strategy using term-structure dynamics of commodity futures
Kim, Soo-hyun; Kang, Hyoung Goo - In: Finance research letters 11 (2014) 3, pp. 282-288
Persistent link: https://www.econbiz.de/10010441845
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Volatility and price information contained in selected agricultural futures options
Egelkraut, Thorsten Michael - 2005
Persistent link: https://www.econbiz.de/10003380192
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016
sloping (contango) and downward sloping (backwardation) term-structures, smaller volatilities for longer maturities and an …
Persistent link: https://www.econbiz.de/10011507774