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Commodity spread option with cointegration
Nakajima, Katsushi; Ōhashi, Kazuhiko - In: Asia-Pacific financial markets 23 (2016) 1, pp. 1-44
Persistent link: https://www.econbiz.de/10011619864
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Spread Options on Commodity Prices
Frau, Carme; Fusai, Gianluca; Kyriakou, Ioannis - 2022
In this work we perform a pricing exercise of different types of spread options; we particularly focus on European calendar and crack spread options. We present the expressions followed by the joint characteristic functions of the underlying log-prices for a panel of bivariate processes. The...
Persistent link: https://www.econbiz.de/10013404951
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Have exchange traded funds influenced commodity market volatility?
Corbet, Shaen; Twomey, Cian - In: International journal of economics and financial issues … 4 (2014) 2, pp. 323-335
Persistent link: https://www.econbiz.de/10010520048
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Futures trading and commodity spot market volatility : empirical evidence on selected commodities in Indian market
Parsa, Masoud; Mallikarjunappa, T. - In: Risk and decision analysis 5 (2014) 1, pp. 43-61
Persistent link: https://www.econbiz.de/10010492584
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Portfolio speculation and commodity price volatility in a stochastic storage model
Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532
Persistent link: https://www.econbiz.de/10010411908
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Interaction between commodity market and cryptocurrencies
Jouini, Fathi; Messai, Ahlem Selma; Mhadheb, Ines - In: International journal of economics and business … 23 (2022) 4, pp. 465-481
Persistent link: https://www.econbiz.de/10013253525
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Price and volatility effects of commodity financialization
Kupabado, Moses Mananyi - 2022
Persistent link: https://www.econbiz.de/10013256135
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Does futures speculation destabilize spot prices? : new evidence for commodity markets
Bohl, Martin T.; Stephan, Patrick Maurice - In: Journal of agricultural and applied economics 45 (2013) 4, pp. 595-616
Persistent link: https://www.econbiz.de/10010207641
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Financialized commodities and stock indices volatilities
Handika, Rangga; Ashraf, Sania - In: European research studies 21 (2018) 1, pp. 153-164
Persistent link: https://www.econbiz.de/10012219883
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Commodity price uncertainty as a leading indicator of economic activity
Triantafyllou, Athanasios; Bakas, Dimitrios; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 4194-4219
Persistent link: https://www.econbiz.de/10014429302