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Does speculation Granger cause return in Chinese commodity markets?

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

Persistent link: https://www.econbiz.de/10011430469

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

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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

Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices

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Interdependence among agricultural commodity markets, macroeconomic factors, crude oil and commodity index

Fernandez-Diaz, Jose M.; Morley, Bruce - In: Research in international business and finance 47 (2019), pp. 174-194

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Volatility risk premia and future commodity returns

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The asymmetric return-volatility relationship of commodity prices

Baur, Dirk G.; Dimpfl, Thomas - In: Energy economics 76 (2018), pp. 378-387

Persistent link: https://www.econbiz.de/10011976677

The relationship between commodity markets and commodity mutual funds : a wavelet-based analysis

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Hedging effectiveness of European wheat futures markets : an application of multivariate GARCH models

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Expected commodity returns and pricing models

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