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Performance Persistence and the Implied Volatility Smile of the Commodity Options Contracts. We Examine Hedge Funds Contracts of Wheat, Corn, Live Cattle, Soybean Oil, and Lean Hog

Guirguis, Michel - 2023

In this article, we examine performance persistence and the implied volatility smile of the commodity options contracts. We examine contracts of wheat, corn, live cattle, soybean oil, and lean hog. Hedge funds use options and futures in terms of commodities to hedge market risk. We compare the...

Persistent link: https://www.econbiz.de/10014355868

Testing the Effects of the Volatility of a Gaussian Distribution Monthly Returns of Commodity Futures Contracts of a Hedge Fund Portfolio

Guirguis, Michel - 2021

contracts of a hedge fund portfolio. We test a linear Gaussian state space model and the Kalman filter ARMA(2,4) model of the …

Persistent link: https://www.econbiz.de/10013232486

The relationship between commodity markets and commodity mutual funds : a wavelet-based analysis

Antonakakis, Nikolaos; Chang, Tsangyao; Cuñado … - In: Finance research letters 24 (2018), pp. 1-9

Persistent link: https://www.econbiz.de/10011982439

The impact of financial speculation on futures contracts price movements : a study of the US markets for dairy commodities

Staugaitis, Algirdas Justinas; Christauskas, Česlovas - In: Equilibrium : quarterly journal of economics and … 18 (2023) 3, pp. 661-686

Persistent link: https://www.econbiz.de/10014430616

Are price limits cooling off agricultural futures markets?

He, Xinyue; Serra, Teresa - In: American journal of agricultural economics 104 (2022) 5, pp. 1724-1746

Persistent link: https://www.econbiz.de/10013466145

Volatility, storage and convenience : evidence from natural gas markets

Susmel, Raul - In: The journal of futures markets 17 (1997) 1, pp. 17-43

Persistent link: https://www.econbiz.de/10001216345

Real and financial aspects of markets : an empirical assessment of commodity spot and futures trading

Slade, Margaret Emily (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001699993

Price limits and volatility in soybean meal futures markets

Cantor, Richard - 1989

Persistent link: https://www.econbiz.de/10000123785

Real and financial aspects of markets : an empirical assessment of commodity spot and futures trading

Slade, Margaret Emily; Thille, Henry - 2002

Persistent link: https://www.econbiz.de/10001667683

Pricing European commodity swaptions

Järvinen, Sami; Toivonen, Harri - In: Applied economics letters 11 (2004) 15, pp. 925-929

Persistent link: https://www.econbiz.de/10002507442

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