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Volatility Term Structures in Commodity Markets

Hollstein, Fabian - 2019

In this study, we comprehensively examine the volatility term structures in commodity markets. We model state …-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the … equity market. We detect strong economic links and a substantial interconnectedness of the volatility term structures of …

Persistent link: https://www.econbiz.de/10012858896

Internet, noise trading and commodity prices

Peri, Massimo; Vandone, Daniela; Baldi, Lucia - 2012

Persistent link: https://www.econbiz.de/10011759934

Propagation of commodity market shocks

Marini, Annalisa; McCorriston, Steve - 2017

Persistent link: https://www.econbiz.de/10011898902

The role of index traders in the financialization of commodity markets : a behavioral finance approach

Aït-Youcef, Camille; Joëts, Marc - In: Energy economics 136 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015046650

Valuing long-term commodity assets

Schwartz, Eduardo S. - In: Journal of energy finance & development 3 (1998) 2, pp. 85-99

Persistent link: https://www.econbiz.de/10001445708

Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility : the case of Brent crude oil

Chen, Jilong; Ewald, Christian; Ouyang, Ruolan; … - In: Financial modeling and risk management of energy and …, (pp. 29-46). 2022

Persistent link: https://www.econbiz.de/10013349908

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

Jumps in Commodity Markets

Nguyen, Duc Binh Benno - 2019

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 sectors. Energy, metal and grains commodities show...

Persistent link: https://www.econbiz.de/10012900597

A four-factor stochastic volatility model of commodity prices

Schöne, Max F.; Spinler, Stefan - In: Review of derivatives research 20 (2017) 2, pp. 135-165

Persistent link: https://www.econbiz.de/10011935975

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