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Financialization in commodity markets : a passing trend or the new normal?
Adams, Zeno; Glück, Thorsten - In: Journal of banking & finance 60 (2015), pp. 93-111
Persistent link: https://www.econbiz.de/10011544903
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Long-run reversal in commodity returns : insights from seven centuries of evidence
Zaremba, Adam; Bianchi, Robert; Mikutowski, Mateusz - In: Journal of banking & finance 133 (2021), pp. 1-25
Persistent link: https://www.econbiz.de/10013256444
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - In: Journal of banking & finance 77 (2017), pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
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Asymmetric effect of basis on dynamic futures hedging : empirical evidence from commodity markets
Lien, Da-hsiang Donald; Li, Yang - In: Journal of banking & finance 32 (2008) 2, pp. 187-198
Persistent link: https://www.econbiz.de/10003647092
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A Markov regime switching approach for hedging energy commodities
Alizadeh-Masoodian, Amir H.; Nomikos, Nikos K.; … - In: Journal of banking & finance 32 (2008) 9, pp. 1970-1983
Persistent link: https://www.econbiz.de/10003775048
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Economic linkages across commodity futures : hedging and trading implications
Chng, Michael T. - In: Journal of banking & finance 33 (2009) 5, pp. 958-970
Persistent link: https://www.econbiz.de/10003836460
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Computing the market price of volatility risk in the energy commodity markets
Doran, James S.; Ronn, Ehud I. - In: Journal of banking & finance 32 (2008) 12, pp. 2541-2552
Persistent link: https://www.econbiz.de/10003795774
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The Samuelson hypothesis in futures markets : an analysis using intraday data
Huu Nhan Duong; Kalev, Petko S. - In: Journal of banking & finance 32 (2008) 4, pp. 489-500
Persistent link: https://www.econbiz.de/10003707624
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Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Schneider, Lorenz; Tavin, Bertrand - In: Journal of banking & finance 95 (2018), pp. 185-202
Persistent link: https://www.econbiz.de/10011966746