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Understanding momentum in commodity markets
Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402
Persistent link: https://www.econbiz.de/10010203400
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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
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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
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Modeling the commodity prices of base metals in Indian commodity market using a higher order Markovian approach
Nag, Suryadeepto; Basu, Sankarshan; Chakrabarty, … - In: Journal of quantitative economics 20 (2022) 1, pp. 159-171
Persistent link: https://www.econbiz.de/10013167352
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A non-linear approach to measure the dependencies between Bitcoin and other commodity markets
Goutte, Stéphane; Keddad, Benjamin - In: Recent econometric techniques for macroeconomic and …, (pp. 303-314). 2021
In this paper, we explore the relationship across cryptocurrencies and a set of commodities by using a Markov-Switching-VAR model. The parametric form of the model allows us to compute the regime-dependent impulse response functions during high and low volatility episodes and then to quantify...
Persistent link: https://www.econbiz.de/10012395551
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Modeling and forecasting extreme commodity prices : a Markov-Switching based extreme value model
Herrera, Rodrigo; Rodriguez, Alejandro; Pino, Gabriel - In: Energy economics 63 (2017), pp. 129-143
Persistent link: https://www.econbiz.de/10011757876
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Volatility spillover analysis in commodity markets : volatility spillover from oil prices to precious metals under different regimes
Kirkpinar, Aysegul - In: Contemporary issues in business economics and finance, (pp. 45-56). 2020
Persistent link: https://www.econbiz.de/10012313140
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Financial stress and commodity price volatility
Chen, Louisa; Verousis, Thanos; Wang, Kai; Zhou, Zhiping - In: Energy economics 125 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014485240
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Wars, cartels and COVID-19 : regime switching in commodity prices
Caputo, Rodrigo; Ordóñez, Félix - In: Applied economics letters 31 (2024) 4, pp. 338-345
Persistent link: https://www.econbiz.de/10014468840