Can Gaussian factor models of commodity prices capture the financialization phenomenon?
Year of publication: |
2019
|
---|---|
Authors: | Aiube, Fernando Antônio Lucena ; Faquieri, Winicius Botelho |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 50.2019, p. 1-10
|
Subject: | Commodity prices | Financialization of commodities | Gaussian factor models | Rohstoffpreis | Commodity price | Rohstoffmarkt | Commodity market | Rohstoffderivat | Commodity derivative | Faktorenanalyse | Factor analysis | Volatilität | Volatility | Schätzung | Estimation | Theorie | Theory | Stochastischer Prozess | Stochastic process |
-
Common factors of commodity prices
Delle Chiaie, Simona, (2022)
-
Commodity prices in empirical research
Carpantier, Jean-François, (2020)
-
Portfolio speculation and commodity price volatility in a stochastic storage model
Vercammen, James Alfred, (2014)
- More ...
-
Hedging the Brazilian stock index in the era of low interest rates : what has changed?
Aiube, Fernando Antônio Lucena, (2020)
-
Avaliação econômica de concessões na indústria de produção de petróleo
Baídya, Tara Keshar Nanda, (1997)
-
Modeling and forecasting the volatility of gas futures prices
Aiube, Fernando Antônio Lucena, (2017)
- More ...