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The impact of information flow and trading activity on gold and oil futures volatility

Clements, Adam; Liao, Yin - 2014

Persistent link: https://www.econbiz.de/10011343881

When Chinese mania meets global frenzy : commodity price bubbles

Fan, John Hua; Fernandez-Perez, Adrian; Indriawan, Ivan; … - In: Journal of commodity markets : JCM 36 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10015162610

Spillovers and directional predictability with a cross-quantilogram analysis : the case of U.S. and Chinese agricultural futures

Jiang, Huayun; Su, Jen-je; Todorova, Neda; Roca, Eduardo - In: The journal of futures markets 36 (2016) 12, pp. 1231-1255

Persistent link: https://www.econbiz.de/10011665641

Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets

Jiang, Huayun; Todorova, Neda; Roca, Eduardo; Su, Jen-je - In: Applied economics 49 (2017) 34/36, pp. 3435-3452

Persistent link: https://www.econbiz.de/10011774968

Relative scarcity and convenience yield : evidence from non-ferrous metals

Omura, Akihiro; Chung, Richard; Todorova, Neda; Li, Bin - In: Applied economics 48 (2016) 55/57, pp. 5605-5624

Persistent link: https://www.econbiz.de/10011742083

Trading on mean-reversion in energy futures markets

Lubnau, Thorben; Todorova, Neda - In: Energy economics 51 (2015), pp. 312-319

Persistent link: https://www.econbiz.de/10011564855

Financialization and De-Financialization of Commodity Futures : A Quantile Regression Approach

Bianchi, Robert - 2019

This study examines the relationship between commodity futures and global stocks. For the first time, we examine the financialization of commodity futures by employing a quantile regression approach. From 2004-2013, we confirm a strong degree of dependence in energy commodities with moderate...

Persistent link: https://www.econbiz.de/10012897786

Agricultural commodity futures trading based on cross-country rolling quantile return signals

Jiang, Huayun; Todorova, Neda; Roca, Eduardo; Su, Jen-je - In: Quantitative finance 19 (2019) 8, pp. 1373-1390

Persistent link: https://www.econbiz.de/10012194793

Financialization and de-financialization of commodity futures: a quantile regression approach

Bianchi, Robert; Fan, John Hua; Todorova, Neda - In: International review of financial analysis 68 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012300938

Convenience yield, realised volatility and jumps : evidence from non-ferrous metals

Omura, Akihiro; Li, Bin; Chung, Richard; Todorova, Neda - In: Economic modelling 70 (2018), pp. 496-510

Persistent link: https://www.econbiz.de/10012027980