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Commodity price dynamics and derivative valuation : a review

Back, Janis; Prokopczuk, Marcel - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-30

Persistent link: https://www.econbiz.de/10010197182

Futures basis, inventory and commodity price volatility : an empirical analysis

Symeonidis, Lazaros; Prokopczuk, Marcel; Brooks, Chris; … - In: Economic modelling 29 (2012) 6, pp. 2651-2663

Persistent link: https://www.econbiz.de/10009673627

Investing in commodity futures markets : can pricing models help?

Paschke, Raphael; Prokopczuk, Marcel - In: The European journal of finance 18 (2012) 1/2, pp. 59-87

Persistent link: https://www.econbiz.de/10009565253

Commodity Price Dynamics and Derivatives Valuation : A Review

Back, Janis - 2013

This paper reviews extant research on commodity price dynamics and commodity derivatives pricing models. In the first half, we provide an overview of stylized facts of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half,...

Persistent link: https://www.econbiz.de/10013090406

Convenience yield risk

Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: Energy economics 120 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014283248

Futures market failure?

García, Philip; Irwin, Scott H.; Smith, Aaron D. - In: American journal of agricultural economics 97 (2015) 1, pp. 40-64

Persistent link: https://www.econbiz.de/10011292807

Price explosiveness, speculation, and grain futures prices

Etienne, Xiaoli L.; Irwin, Scott H.; García, Philip - In: American journal of agricultural economics 97 (2015) 1, pp. 65-87

Persistent link: https://www.econbiz.de/10011294281

Introduction: special issue on commodity and energy markets in the Journal of Banking and Finance

Roncoroni, Andrea; Prokopczuk, Marcel; Ronn, Ehud I. - In: Journal of banking & finance 95 (2018), pp. 1-4

Persistent link: https://www.econbiz.de/10011966673

Spreads and non-convergence in Chicago Board of Trade corn, soybean, and wheat futures : are index funds to blame?

Irwin, Scott H.; García, Philip; Good, Darrel L.; … - In: Applied economic perspectives and policy 33 (2011) 1, pp. 116-142

Persistent link: https://www.econbiz.de/10009158543

Index funds, financialization, and commodity futures markets

Irwin, Scott H.; Sanders, Dwight R. - In: Applied economic perspectives and policy 33 (2011) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10009158557