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Commodity volatility breaks
Vivian, Andrew; Wohar, Mark E. - In: Journal of international financial markets, … 22 (2012) 2, pp. 395-422
Persistent link: https://www.econbiz.de/10009581694
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Volatility and commodity price dynamics
Pindyck, Robert S. - In: The journal of futures markets 24 (2004) 11, pp. 1029-1047
Persistent link: https://www.econbiz.de/10002248629
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Commodity momentum decomposition
Iwanaga, Yasuhiro; Sakemoto, Ryuta - In: The journal of futures markets 43 (2023) 2, pp. 198-216
Persistent link: https://www.econbiz.de/10014292998
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A cointegrated commodity pricing model
Nakajima, Katsushi; Ōhashi, Kazuhiko - In: The journal of futures markets 32 (2012) 11, pp. 995-1033
Persistent link: https://www.econbiz.de/10009697818
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Fractional dynamics in international commodity prices
Barkoulas, John T. - In: The journal of futures markets 17 (1997) 2, pp. 161-189
Persistent link: https://www.econbiz.de/10001218568
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Return distributions and volatility forecasting in metal futures markets : evidence from gold, silver, and copper
Khalifa, Ahmed A. A.; Miao, Hong; Ramchander, Sanjay - In: The journal of futures markets 31 (2011) 1, pp. 55-80
Persistent link: https://www.econbiz.de/10008908411
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Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Röthig, Andreas; Chiarella, Carl - In: The journal of futures markets 27 (2007) 8, pp. 719-737
Persistent link: https://www.econbiz.de/10003518512
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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - In: The journal of futures markets 35 (2015) 4, pp. 339-356
Persistent link: https://www.econbiz.de/10011348418
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Commodity, strategies based on momentum, term structure, and idiosyncratic volatility
Fuertes, Ana María; Miffre, Joëlle; Fernandez-Perez, … - In: The journal of futures markets 35 (2015) 3, pp. 274-297
Persistent link: https://www.econbiz.de/10011348423
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A jump diffusion model for agricultural commodities with Bayesian analysis
Schmitz, Adam; Wang, Zhiguang; Kimn, Jung-han - In: The journal of futures markets 34 (2014) 3, pp. 235-260
Persistent link: https://www.econbiz.de/10010355435