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Capturing the risk premium of commodity futures : the role of hedging pressure

Basu, Devraj; Miffre, Joëlle - In: Journal of banking & finance 37 (2013) 7, pp. 2652-2664

Persistent link: https://www.econbiz.de/10009760567

Do the pure martingale and joint normality hypotheses hold for futures contracts? : implications for the optimal hedge ratios

Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The quarterly review of economics and finance : journal … 48 (2008) 1, pp. 153-174

Persistent link: https://www.econbiz.de/10003683377

The relative pricing of WTI and Brent crude oil futures : expectations or risk premia?

Gao, Xin; Li, Bingxin; Liu, Rui - In: Journal of commodity markets 30 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014426797

Exploiting commodity momentum along the futures curves

Groot, Wilma de; Karstanje, Dennis; Zhou, Weili - In: Journal of banking & finance 48 (2014), pp. 79-93

Persistent link: https://www.econbiz.de/10010506936

Forecasting the term structure of crude oil futures prices with neural networks

Baruník, Jozef; Malinská, Barbora - 2015

The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed...

Persistent link: https://www.econbiz.de/10011378719

Shock propagation across the futures term structure : evidence from crude oil prices

Lautier, Delphine H.; Raynaud, Franck; Robe, Michel A. - In: The energy journal 40 (2019) 3, pp. 125-153

Persistent link: https://www.econbiz.de/10012053253

Too much of a good thing? : speculative effects on commodity futures curves

Van Huellen, Sophie - In: Journal of financial markets 47 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012631776

Neural network prediction of crude oil futures using B-splines

Butler, Sunil; Kokoszka, Piotr; Miao, Hong; Shang, Han Lin - In: Energy economics 94 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012649352

Predictable dynamics in the implied volatility surface based on weighted least squares : evidence from soybean meal futures options in China

Sui, Cong; Lung, Peter P.; Yang, Mo - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 11, pp. 2625-2638

Persistent link: https://www.econbiz.de/10012262896

Curve momentum

Paschke, Raphael; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 113 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012226133