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Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets
Triantafyllou, Athanasios; Dotsis, George; Sarris, … - In: Journal of Agricultural Economics 71 (2020) 3, pp. 631-651
Persistent link: https://www.econbiz.de/10012280613
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Option-Implied Expectations in Commodity Markets and Monetary Policy
Triantafyllou, Athanasios - 2016
In this paper we estimate the dynamic interactions between option-implied variance and skewness in agricultural commodity markets and monetary policy. Using a structural vector autoregressive (SVAR) framework, we find that an expansionary (contractionary) monetary policy upwardly (downwardly)...
Persistent link: https://www.econbiz.de/10012998385
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Volatility forecasting and time-varying variance risk premiums in grains commodity markets
Triantafyllou, Athanasios; Dotsis, George; Sarris, … - In: Journal of agricultural economics 66 (2015) 2, pp. 329-357
Persistent link: https://www.econbiz.de/10011299547
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Extreme volatility in agricultural commodity markets and implications for food security
Triantafyllou, Athanasios; Dotsis, George; Sarris, … - In: Food security and sustainability : investment and …, (pp. 161-174). 2017
Persistent link: https://www.econbiz.de/10011599716
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Investing in commodities in times of uncertainty and lax monetary policy
Triantafyllou, Athanasios - In: Recent advances and applications in alternative investments, (pp. 1-36). 2020
Persistent link: https://www.econbiz.de/10012265116
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The market price of risk of the variance term structure
Dotsis, George - In: Journal of banking & finance 84 (2017), pp. 41-52
Persistent link: https://www.econbiz.de/10011816835
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Option pricing methods in the City of London during the late 19th century
Dotsis, George - In: Quantitative finance 20 (2020) 5, pp. 709-719
Persistent link: https://www.econbiz.de/10012262615
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Investment under uncertainty with a zero lower bound on interest rates
Dotsis, George - In: Economics letters 188 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012227841
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A new index of option implied absolute deviation
Dotsis, George - In: The journal of futures markets 44 (2024) 9, pp. 1543-1555
Persistent link: https://www.econbiz.de/10015110685
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Commodity price uncertainty comovement: Does it matter for global economic growth?
Ferrara, Laurent; Karadimitropoulou, Aikaterini; … - 2022
Persistent link: https://www.econbiz.de/10012878891