Time-to-maturity and commodity futures return volatility : the role of time-varying asymmetric information
Hoàng-Long Phan, Ralf Zurbruegg, Paul Brockman, Chia-Feng (Jeffrey) Yu
| Year of publication: |
2022
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|---|---|
| Authors: | Phan Hoang Long ; Zurbruegg, Ralf ; Brockman, Paul ; Yu, Chia-Feng |
| Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 26.2022, p. 1-19
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| Subject: | Futures | Hedging | Financialization | Commodity futures | Information asymmetry | Price elasticity | Rohstoffderivat | Commodity derivative | Asymmetrische Information | Asymmetric information | Volatilität | Volatility | Preiselastizität | Rohstoffpreis | Commodity price | Theorie | Theory | Schätzung | Estimation | Derivat | Derivative | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2021.100191 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013450908