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Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

Mellios, Constantin; Six, Pierre; Anh Ngoc Lai - In: European journal of operational research : EJOR 250 (2016) 2, pp. 493-504

Persistent link: https://www.econbiz.de/10011441684

Commodity spot, forward, and futures prices with a firm's optimal strategy

Nakajima, Katsushi - 2017

Persistent link: https://www.econbiz.de/10012131904

Comparison of commodity future pricing approaches with cointegration techniques

Stepanek, Christian - In: Journal of financial engineering 2 (2015) 1, pp. 1-31

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Commodity spot and futures prices under supply, demand, and financial trading : single input-output model

Nakajima, Katsushi - In: Asia Pacific financial markets 27 (2020) 1, pp. 35-59

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Speculation in commodity futures markets, inventories and the price of crude oil

Byun, Sung Je - In: The energy journal 38 (2017) 5, pp. 93-113

Persistent link: https://www.econbiz.de/10011791800

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

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Commodity price forecasts and futures prices

Choe, Boum-Jong - 1990

Persistent link: https://www.econbiz.de/10000131398

How is volatility in commodity markets linked to oil price shocks?

Ahmadi, Maryam; Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural...

Persistent link: https://www.econbiz.de/10011438674

Commodity derivative valuation under a factor model with time-varying market prices of risk

García Mirantes, Andrés; Población, Javier; Serna, … - In: Review of derivatives research 18 (2015) 1, pp. 75-93

Persistent link: https://www.econbiz.de/10011414114

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