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Valuation of options on oil futures under the 3/4 oil price model
Oud, Mohammed A. Aba; Goard, Joanna - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-12
Persistent link: https://www.econbiz.de/10011418854
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An empirical investigation of volatility of Indian spot and future prices of crude oil
Chhatwal, Hartika; Puri, Himanshu; Purohit, Harsh - In: Metamorphosis : a journal of management research 12 (2013) 2, pp. 54-66
Persistent link: https://www.econbiz.de/10010370462
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Effects of speculation and interest rates in a “carry trade” model of commodity prices
Frankel, Jeffrey A. - In: Journal of international money and finance 42 (2014), pp. 88-112
Persistent link: https://www.econbiz.de/10010371827
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Crude oil futures markets : another look into traders' positions
Tokic, Damir - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 321-342
Persistent link: https://www.econbiz.de/10010259393
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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
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The role of trader positions in spot and futures prices for WTI
Kolodziej, Marek; Kaufmann, Robert Kurt - In: Energy economics 40 (2013), pp. 176-182
Persistent link: https://www.econbiz.de/10010349590
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Psychological barriers and price clustering in energy futures
Lucey, Brian M.; Dowling, Michael - 2012
Persistent link: https://www.econbiz.de/10009666043
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Market efficiency in commodity futures : a case study of Mentha oil
Bhardwaj, S. P.; Vasisht, A. K. - In: Research in financial derivatives : commodity, equity, …, (pp. 282-295). 2011
Persistent link: https://www.econbiz.de/10009428262
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Cost of Carry on Steroids : Application to Oil Futures Pricing
Girard, Eric - 2010
This paper develops an empirical cost of carry model with endogenously conditioned convenience yield. The approach is implemented using monthly prices of all futures contracts traded at the New York Mercantile Exchange between 1985 and 2006. Tests indicate that the model fits the data extremely...
Persistent link: https://www.econbiz.de/10013138779
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The Effect of Speculative Investment on the WTI Crude Oil Futures Market
Endo, Misao - 2010
In this paper, we analyzed the relationship between WTI oil price and speculative investment. In September 2009, the U.S. Commodity Futures Trading Commission (CFTC) began publishing a Disaggregated Commitments of Traders report for the sake of increasing the transparency of market participant's...
Persistent link: https://www.econbiz.de/10013138950