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Volatility and stock price indexes

Clements, Kenneth W.; Izan, H. Y.; Lan, Yihui - In: Applied economics 45 (2013) 22/24, pp. 3255-3262

Persistent link: https://www.econbiz.de/10010345452

Stability price index, core inflation and output volatility

Charemza, Wojciech; Shah, Imran - In: Applied economics letters 20 (2013) 7/9, pp. 737-741

Persistent link: https://www.econbiz.de/10009761763

Stability price index, core inflation and output volatility

Charemza, Wojciech; Shah, Imran - 2012

Persistent link: https://www.econbiz.de/10009670645

Time-frequency spillover effect of domestic and foreign commodity markets on China's price levels

Guo, Wenwei; Tang, Jing; Zhu, Hongjin; Ma, Xiaowen - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 15, pp. 4207-4217

Persistent link: https://www.econbiz.de/10013462922

Pricing commodity index options

Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308

Persistent link: https://www.econbiz.de/10014232638

Does index speculation impact commodity prices? : an intraday analysis

Tse, Yiuman; Williams, Michael - In: The financial review : the official publication of the … 48 (2013) 3, pp. 365-383

Persistent link: https://www.econbiz.de/10009782136

Comovement, Index Investing and the Financialization of Commodities

Bonato, Matteo - 2018

2017 for 25 US-traded commodities, we find a statistically significant increase in comovement among non-energy index …-commodities. This increase is only temporary. In contrast, no change in comovement is observed for off-index commodities over the entire … the results. Such comovement ‘index effect' is in line with the predictions of theoretical models of the financialization …

Persistent link: https://www.econbiz.de/10012937435

Quantile time-frequency connectedness analysis between crude oil, gold, financial markets, and macroeconomic indicators : evidence from the US and EU

Shang, Jin; Hamori, Shigeyuki - In: Energy economics 132 (2024), pp. 1-42

Persistent link: https://www.econbiz.de/10015047391

Evaluating the effectiveness of modern forecasting models in predicting commodity futures prices in volatile economic times

Vancsura, László; Tatay, Tibor; Bareith, Tibor - In: Risks : open access journal 11 (2023) 2, pp. 1-16

The paper seeks to answer the question of how price forecasting can contribute to which techniques gives the most accurate results in the futures commodity market. A total of two families of models (decision trees, artificial intelligence) were used to produce estimates for 2018 and 2022 for 21-...

Persistent link: https://www.econbiz.de/10014233184

Portfolio speculation and commodity price volatility in a stochastic storage model

Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532

Persistent link: https://www.econbiz.de/10010411908