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Commodity futures price volatility, convenience yield and economic fundamentals

Power, Gabriel J.; Robinson, John R. C. - In: Applied economics letters 20 (2013) 10/12, pp. 1089-1095

Persistent link: https://www.econbiz.de/10010197057

Does futures speculation destabilize spot prices? : new evidence for commodity markets

Bohl, Martin T.; Stephan, Patrick Maurice - In: Journal of agricultural and applied economics 45 (2013) 4, pp. 595-616

Persistent link: https://www.econbiz.de/10010207641

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

Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets

Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

Persistent link: https://www.econbiz.de/10010528976

Maturity effects in futures contracts on the SAFEX market

Motengwe, Chris; Alagidede, Paul - In: Agrekon : agricultural economics research, policy and … 55 (2016) 4, pp. 331-355

Persistent link: https://www.econbiz.de/10011733945

Volatility and depth in commodity and FX futures markets

Aidov, Alexandre; Lobanova, Olesya - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16

Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds … contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and … negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility …

Persistent link: https://www.econbiz.de/10012795882

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

Price volatility of storable commodities under rational expectations in spot and futures markets

Kawai, Masahiro - 1981 - Rev

Persistent link: https://www.econbiz.de/10002203641

Momentum and Mean-Reversion in Commodity Spot and Futures Markets

Chaves, Denis B. - 2016

We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices. We find that momentum performs well in futures markets, but not in spot markets, and that mean-reversion performs well in spot markets, but...

Persistent link: https://www.econbiz.de/10012984051

New empirical evidence in support of the theory of price volatility of storable commodities under rational expectations in spot and futures markets

Goetz, Cole; Miljkovic, Dragan; Barabanov, Nikita - In: Energy economics 100 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012990234