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~person:"Smith, Aaron D."
~person:"Lien, Da-hsiang Donald"
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Search: subject_exact:"Rohstoff-Futures"
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Commodity derivative
32
Rohstoffderivat
32
Hedging
12
Theorie
11
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11
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11
Volatilität
11
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10
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Smith, Aaron D.
Lien, Da-hsiang Donald
McAleer, Michael
55
Irwin, Scott H.
51
Prokopczuk, Marcel
40
Till, Hilary
36
Chang, Chia-Lin
33
Pies, Ingo
32
Ma, Feng
29
Miffre, Joëlle
29
Sanders, Dwight R.
28
García, Philip
27
Manera, Matteo
25
Chevallier, Julien
24
Xiong, Wei
23
Rouwenhorst, K. Geert
22
Tang, Ke
21
Schwartz, Eduardo S.
19
Fernandez-Perez, Adrian
18
Bohl, Martin T.
17
Hammoudeh, Shawkat
17
Ji, Qiang
17
Bouri, Elie
16
Glauben, Thomas
16
Nguyen, Duc Khuong
16
Tse, Yiuman
16
Wei, Yu
16
Kang, Sang Hoon
15
Prehn, Sören
15
Robe, Michel A.
14
Todorova, Neda
14
Benth, Fred Espen
13
Chiarella, Carl
13
Cortazar, Gonzalo
13
Fan, John Hua
13
Hamori, Shigeyuki
13
Nicolini, Marcella
13
Pennings, Joost M. E.
13
Sercu, Piet
13
Tansuchat, Roengchai
13
Torró, Hipòlit
13
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The journal of futures markets
5
American journal of agricultural economics
4
International review of economics & finance : IREF
4
International review of financial analysis
3
Applied financial economics
2
The energy journal
2
Advances in quantitative analysis of finance and accounting : a research annual
1
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1
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
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1
Intraday return predictability in the crude oil market : the role of EIA inventory announcements
Wen, Zhuzhu
;
Indriawan, Ivan
;
Lien, Da-hsiang Donald
; …
- In:
The energy journal
44
(
2023
)
5
,
pp. 149-171
Persistent link: https://www.econbiz.de/10014380659
Saved in:
2
Bad volatility is not always bad : evidence from the commodity markets
Indriawan, Ivan
;
Lien, Da-hsiang Donald
;
Roh, Tai-Yong
; …
- In:
Applied economics
52
(
2020
)
40
,
pp. 4384-4402
Persistent link: https://www.econbiz.de/10012259062
Saved in:
3
Commodity price comovement and financial speculation : the case of cotton
Janzen, Joseph P.
;
Smith, Aaron D.
;
Carter, Colin Andre
- In:
American journal of agricultural economics
100
(
2018
)
1
,
pp. 264-285
Persistent link: https://www.econbiz.de/10011959365
Saved in:
4
Futures market failure?
García, Philip
;
Irwin, Scott H.
;
Smith, Aaron D.
- In:
American journal of agricultural economics
97
(
2015
)
1
,
pp. 40-64
Persistent link: https://www.econbiz.de/10011292807
Saved in:
5
Futures prices in supply analysis : are instrumental variables necessary?
Hendricks, Nathan P.
;
Janzen, Joseph P.
;
Smith, Aaron D.
- In:
American journal of agricultural economics
97
(
2015
)
1
,
pp. 22-39
Persistent link: https://www.econbiz.de/10011292823
Saved in:
6
Does the stock market drive herd behavior in commodity futures markets?
Demirer, Rıza
;
Lee, Hsiang-Tai
;
Lien, Da-hsiang Donald
- In:
International review of financial analysis
39
(
2015
),
pp. 32-44
Persistent link: https://www.econbiz.de/10011573052
Saved in:
7
Hedging and speculative trading in agricultural futures markets
Fishe, Raymond P. H.
;
Janzen, Joseph P.
;
Smith, Aaron D.
- In:
American journal of agricultural economics
96
(
2014
)
2
,
pp. 542-556
Persistent link: https://www.econbiz.de/10010411897
Saved in:
8
Volatility dynamics of NYMEX natural gas futures prices
Suenaga, Hiroaki
(
contributor
);
Smith, Aaron D.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003396527
Saved in:
9
Identifying informed traders in futures markets
Fishe, Raymond P. H.
;
Smith, Aaron D.
- In:
Journal of financial markets
15
(
2012
)
3
,
pp. 329-359
Persistent link: https://www.econbiz.de/10009611817
Saved in:
10
Partially overlapping time series : a new model for volatility dynamics in commodity futures
Smith, Aaron D.
(
contributor
)
-
2004
Persistent link: https://www.econbiz.de/10003729960
Saved in:
11
Volatility dynamics and seasonality in energy prices : implications for crack-spread price risk
Suenaga, Hiroaki
;
Smith, Aaron D.
- In:
The energy journal
32
(
2011
)
3
,
pp. 27-58
Persistent link: https://www.econbiz.de/10009309725
Saved in:
12
Convergence to efficiency in FTSE-100 futures market
Lien, Da-hsiang Donald
;
Xiang, Ju
- In:
International journal of financial markets and derivatives
1
(
2010
)
3
,
pp. 243-257
Persistent link: https://www.econbiz.de/10008665689
Saved in:
13
Estimating optimal hedge ratio : a multivariate skew-normal distribution approach
Lien, Da-hsiang Donald
;
Shrestha, Keshab
- In:
Applied financial economics
20
(
2010
)
7/9
,
pp. 627-636
Persistent link: https://www.econbiz.de/10009009324
Saved in:
14
Intraday return and volatility spill-over across international copper futures markets
Lien, Da-hsiang Donald
;
Li, Yang
- In:
International journal of managerial finance : IJMF
5
(
2009
)
1
,
pp. 135-149
Persistent link: https://www.econbiz.de/10003935287
Saved in:
15
Hedging effectiveness comparisons : a note
Lien, Da-hsiang Donald
;
Shrestha, Keshab
- In:
International review of economics & finance : IREF
17
(
2008
)
3
,
pp. 391-396
Persistent link: https://www.econbiz.de/10003749652
Saved in:
16
Asymmetric effect of basis on dynamic futures hedging : empirical evidence from commodity markets
Lien, Da-hsiang Donald
;
Li, Yang
- In:
Journal of banking & finance
32
(
2008
)
2
,
pp. 187-198
Persistent link: https://www.econbiz.de/10003647092
Saved in:
17
Volatility dynamics of NYMEX natural gas futures prices
Suenaga, Hiroaki
;
Smith, Aaron D.
;
Williams, Jeffrey
- In:
The journal of futures markets
28
(
2008
)
5
,
pp. 438-463
Persistent link: https://www.econbiz.de/10003699693
Saved in:
18
Hedging with Chinese metal futures
Lien, Da-hsiang Donald
;
Li, Yang
- In:
Global finance journal
19
(
2008
)
2
,
pp. 123-138
Persistent link: https://www.econbiz.de/10003756887
Saved in:
19
A survey on physical delivery versus cash settlement in futures contracts
Lien, Da-hsiang Donald
;
Tse, Yiu Kuen
- In:
International review of economics & finance : IREF
15
(
2006
)
1
,
pp. 15-29
Persistent link: https://www.econbiz.de/10003298476
Saved in:
20
Settlement specifications on commodity futures contracts
Lien, Da-hsiang Donald
;
Li, Yang
- In:
Focus on agricultural economics
,
(pp. 53-76)
.
2005
Persistent link: https://www.econbiz.de/10003583297
Saved in:
21
Partially overlapping time series : a new model for volatility dynamics in commodity futures
Smith, Aaron D.
- In:
Journal of applied econometrics
20
(
2005
)
3
,
pp. 405-422
Persistent link: https://www.econbiz.de/10002807215
Saved in:
22
Cash settlement and futures price volatility : evidence from options data
Chan, Leo H.
;
Lien, Da-hsiang Donald
- In:
Advances in quantitative analysis of finance and …
1
(
2004
),
pp. 29-44
Persistent link: https://www.econbiz.de/10002225818
Saved in:
23
Hedging long-term commodity risk : a comment
Lien, Da-hsiang Donald
;
Wang, Yan
- In:
The journal of futures markets
24
(
2004
)
11
,
pp. 1093-1099
Persistent link: https://www.econbiz.de/10002248560
Saved in:
24
Futures market equilibrium under Knightian uncertainty
Lien, Da-hsiang Donald
;
Wang, Yaqin
- In:
The journal of futures markets
23
(
2002
)
7
,
pp. 701-718
Persistent link: https://www.econbiz.de/10001769724
Saved in:
25
Using high, low, open and closing prices to estimate the effects of cash settlement on futures prices
Chan, Leo Tak-hung
;
Lien, Da-hsiang Donald
- In:
International review of financial analysis
12
(
2003
)
1
,
pp. 35-47
Persistent link: https://www.econbiz.de/10001769951
Saved in:
26
Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?
Root, Thomas H.
;
Lien, Da-hsiang Donald
- In:
International review of financial analysis
12
(
2003
)
2
,
pp. 117-133
Persistent link: https://www.econbiz.de/10001769973
Saved in:
27
Downside risk for short long hedgers
Demirer, Rıza
;
Lien, Da-hsiang Donald
- In:
International review of economics & finance : IREF
12
(
2003
)
1
,
pp. 25-44
Persistent link: https://www.econbiz.de/10001770018
Saved in:
28
Impulse responses in a threshold cointegrated system : the case of natural gas markets
Root, T. H.
;
Lien, Da-hsiang Donald
- In:
Applied financial economics
13
(
2003
)
1
,
pp. 23-35
Persistent link: https://www.econbiz.de/10001725720
Saved in:
29
Disappointment aversion equilibrium in a futures market
Lien, Da-hsiang Donald
;
Wang, Yaqin
- In:
The journal of futures markets
23
(
2002
)
2
,
pp. 135-150
Persistent link: https://www.econbiz.de/10001762667
Saved in:
30
Delivery risk and the hedging role of options
Lien, Da-hsiang Donald
;
Kit, Pong Wong
- In:
The journal of futures markets
22
(
2002
)
4
,
pp. 339-354
Persistent link: https://www.econbiz.de/10001678273
Saved in:
31
Measuring the impacts of cash settlement : a stochastic volatility approach
Chan, Leo H.
;
Lien, Da-hsiang Donald
- In:
International review of economics & finance : IREF
11
(
2002
)
3
,
pp. 251-263
Persistent link: https://www.econbiz.de/10001719359
Saved in:
32
Cash settlement and price discovery in futures markets
Chan, Leo H.
;
Lien, Da-hsiang Donald
- In:
Quarterly journal of business and economics : QJBE
40
(
2001
)
3/4
,
pp. 65-77
Persistent link: https://www.econbiz.de/10001764354
Saved in:
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