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The stochastic behavior of commodity prices : implications for valuation and hedging

Schwartz, Eduardo S. - In: The journal of finance : the journal of the American … 52 (1997) 3, pp. 923-973

Persistent link: https://www.econbiz.de/10001225632

Does speculation Granger cause return in Chinese commodity markets?

Hu, Weigang; Feng, Yun - In: Applied economics letters 23 (2016) 4/6, pp. 294-297

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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579

Persistent link: https://www.econbiz.de/10011499761

Impact of macro economic factors on commodity futures price with reference to agricultural commodities in Indian and US markets

Raghu Kumari P. S. - In: International journal of applied business and economic … 13 (2015) 1, pp. 331-346

Persistent link: https://www.econbiz.de/10011376388

A dynamic model of hedging and speculation in the commodity futures markets

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of financial markets 25 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011477250

Heavy metals : might as well jump

Wilmot, Neil A. - In: International Journal of Financial Studies : open … 7 (2019) 2/33, pp. 1-14

Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes-or jump-in prices. This suggests that natural resource...

Persistent link: https://www.econbiz.de/10012038566