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Market conditions, trader types and price-volume relation in energy futures markets

Alizadeh-Masoodian, Amir H.; Tamvakis, Michael - In: Energy economics 56 (2016), pp. 134-149

Persistent link: https://www.econbiz.de/10011663879

Directional predictability between trading volume and price returns in the agricultural futures markets : risk implications for traders

Panagiotou, Dimitrios; Tseriki, Alkistis - In: The journal of risk finance : JRF 23 (2022) 3, pp. 264-288

Persistent link: https://www.econbiz.de/10013370546

Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices

Gupta, Apoorv; Rajib, Prabina - In: IIMB management review 30 (2018) 4, pp. 369-384

Persistent link: https://www.econbiz.de/10012042010

Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management

Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342

Persistent link: https://www.econbiz.de/10010503584

Return and volatility spillover effects in agricultural commodity markets

Bernhardt, Matthias - 2017

risk in spot return’s volatility and spot returns itself, respectively. During the study the VAR(1)-GARCH-ABEKK(1,1)-in …This paper provides insights into agricultural commodity markets in terms of return and volatility spillover effects … of return and volatility linkages between agricultural commodities. Based on the model results optimal dynamic portfolio …

Persistent link: https://www.econbiz.de/10011761782