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A staggered pricing approach to modeling speculative storage : implications for commodity price dynamics

Assa, Hirbod; Dabbous, Amal; Gospodinov, Nikolaj - 2013

This paper embeds a staggered price feature into the standard speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage, which helps us to replicate the stylized facts of the observed commodity...

Persistent link: https://www.econbiz.de/10010126851

Volatility in commodity market

Kumar, Narender; Arora, Sunita - In: Finance India : the quarterly journal of Indian … 28 (2014) 4, pp. 1213-1228

Persistent link: https://www.econbiz.de/10010495235

Price volatility of storable commodities under rational expectations in spot and futures markets

Kawai, Masahiro - 1981 - Rev

Persistent link: https://www.econbiz.de/10002203641

Asymmetric Volatility in Commodity Markets

Chen, Yu-Fu - 2020

The paper studies the return-volatility relationship in a range of commodities. We develop a commodity price model and … show that the volatility of price changes can be positively or negatively related to demand shocks. An “inverse leverage … effect” – the volatility is higher following positive price shocks – is found in more than half of the daily spot prices. The …

Persistent link: https://www.econbiz.de/10012843335

Smile Modelling in Commodity Markets

Nastasi, Emanuele - 2020

We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward …

Persistent link: https://www.econbiz.de/10012851488

Model Uncertainty in Commodity Markets

Cartea, Álvaro - 2015

Agents who acknowledge that their models are incorrectly specified are said to be ambiguity averse, and this affects the prices they are willing to trade at. Models for prices of commodities attempt to capture three stylized features: seasonal trend, moderate deviations (a diffusive factor), and...

Persistent link: https://www.econbiz.de/10013022682

Extreme price moves : an INGARCH approach to model coexceedances in commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: European review of agricultural economics 48 (2021) 4, pp. 878-914

Persistent link: https://www.econbiz.de/10012618810

A Model of Financialization of Commodities

Basak, Suleyman - 2015

A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets, referred to as the financialization of commodities. In this paper, we explore the effects of financialization in a model that...

Persistent link: https://www.econbiz.de/10013036073

Volatility spillovers in commodity markets : a large t-vector autoregressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - In: Energy economics 85 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012509561

Does Bitcoin hedge commodity uncertainty?

Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14

. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total … transmitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest …

Persistent link: https://www.econbiz.de/10012305145