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Three narratives on the changing face of global commodities market structure

Valiante, Diego - In: Credit and capital markets : Kredit und Kapital 48 (2015) 2, pp. 243-308

Persistent link: https://www.econbiz.de/10011414253

Mean reversion property in Indian commodities futures market

Ahamed, Naseem; Tiwari, Aviral Kumar - In: The empirical economics letters : a monthly … 14 (2015) 5, pp. 443-450

Persistent link: https://www.econbiz.de/10011419068

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

A two-factor cointegrated commodity price model with an application to spread option pricing

Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016

In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...

Persistent link: https://www.econbiz.de/10011507774

Contested commodities

Radin, Margaret Jane - 1996

Persistent link: https://www.econbiz.de/10011519851

The financialization of commodity markets

Xiong, Wei - In: NBER reporter online (2014) 2, pp. 20-23

Persistent link: https://www.econbiz.de/10011369089

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

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

Fernandez, Jose M. - 2015

Persistent link: https://www.econbiz.de/10011409070

Macro news and commodity returns

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015

This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...

Persistent link: https://www.econbiz.de/10011346863

Adjusting to lower commodity prices

Internationaler Währungsfonds - 2015

Persistent link: https://www.econbiz.de/10011454731