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How is volatility in commodity markets linked to oil price shocks?

Ahmadi, Maryam; Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

Persistent link: https://www.econbiz.de/10011438674

Time-variations in commodity price jumps

Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84

Persistent link: https://www.econbiz.de/10011489343

Commodity price volatility & time varying hedge ratios : evidence from notional commodity futures indices of India

Kumar, Santhosh; Lagesh, M. A. - In: Finance India : the quarterly journal of Indian … 28 (2014) 2, pp. 515-528

Persistent link: https://www.econbiz.de/10010421800

Do long-short speculators destabilize commodity futures markets?

Miffre, Joëlle; Brooks, Chris - In: International review of financial analysis 30 (2013), pp. 230-240

Persistent link: https://www.econbiz.de/10010460310

Tail events : a new approach to understanding extreme energy commodity prices

Koch, Nikolas - In: Energy economics 43 (2014), pp. 195-205

Persistent link: https://www.econbiz.de/10010504824

Monetary policy and price dynamics in a commodity futures market

Tai, Meng-Yi; Chao, Chi-Chur; Hu, Shih-Wen; Lai, Ching-chong - In: International review of economics & finance : IREF 29 (2014), pp. 372-379

Persistent link: https://www.econbiz.de/10010432345

Futures basis, inventory and commodity price volatility : an empirical analysis

Symeonidis, Lazaros; Prokopczuk, Marcel; Brooks, Chris; … - In: Economic modelling 29 (2012) 6, pp. 2651-2663

Persistent link: https://www.econbiz.de/10009673627

Commodity volatility breaks

Vivian, Andrew; Wohar, Mark E. - In: Journal of international financial markets, … 22 (2012) 2, pp. 395-422

Persistent link: https://www.econbiz.de/10009581694

A dynamic model of hedging and speculation in the commodity futures markets

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of financial markets 25 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011477250

Interdependence among agricultural commodity markets, macroeconomic factors, crude oil and commodity index

Fernandez, Jose M. - 2015

Persistent link: https://www.econbiz.de/10011409070

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