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Year of publication
Subject
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Commodity derivative 3,808 Rohstoffderivat 3,808 Volatility 1,080 Volatilität 1,080 Warenbörse 1,025 Commodity exchange 1,019 Welt 771 World 771 Oil price 695 Theorie 695 Theory 695 Ölpreis 695 Derivat 650 Derivative 650 Rohstoffpreis 577 Commodity price 575 Rohstoffmarkt 575 Commodity market 563 USA 560 United States 554 Estimation 541 Schätzung 540 Hedging 492 Erdöl 422 Petroleum 422 ARCH model 378 ARCH-Modell 378 Börsenkurs 351 Share price 351 Forecasting model 312 Prognoseverfahren 312 Oil market 288 Ölmarkt 288 Capital income 287 Kapitaleinkommen 287 Portfolio selection 254 Portfolio-Management 254 Speculation 249 Spekulation 247 Spot market 213
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Online availability
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Free 1,113 Undetermined 921
Type of publication
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Article 2,276 Book / Working Paper 1,528 Journal 5
Type of publication (narrower categories)
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Article in journal 2,111 Aufsatz in Zeitschrift 2,111 Graue Literatur 489 Non-commercial literature 489 Arbeitspapier 407 Working Paper 407 Aufsatz im Buch 161 Book section 161 Hochschulschrift 93 Thesis 76 Collection of articles of several authors 26 Sammelwerk 26 Amtsdruckschrift 24 Government document 24 Conference paper 22 Konferenzbeitrag 22 Collection of articles written by one author 21 Sammlung 21 Ratgeber 13 Guidebook 12 Aufsatzsammlung 11 Lehrbuch 10 Textbook 10 Glossar enthalten 9 Glossary included 9 Handbook 8 Handbuch 8 Bibliografie enthalten 5 Bibliography included 5 Konferenzschrift 5 Statistics 5 Statistik 5 Interview 4 Market information 4 Marktinformation 4 Systematic review 4 Übersichtsarbeit 4 Advisory report 3 Commentary 3 Gutachten 3
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Language
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English 3,669 German 127 French 8 Spanish 5 Italian 4 Portuguese 4 Arabic 1 Undetermined 1
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Author
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McAleer, Michael 54 Irwin, Scott H. 47 Prokopczuk, Marcel 37 Till, Hilary 35 Chang, Chia-Lin 32 Pies, Ingo 32 García, Philip 26 Ma, Feng 25 Manera, Matteo 24 Sanders, Dwight R. 24 Chevallier, Julien 23 Xiong, Wei 23 Lien, Da-hsiang Donald 21 Rouwenhorst, K. Geert 21 Miffre, Joëlle 20 Tang, Ke 19 Schwartz, Eduardo S. 17 Glauben, Thomas 16 Hammoudeh, Shawkat 16 Ji, Qiang 15 Prehn, Sören 15 Bohl, Martin T. 14 Nguyen, Duc Khuong 14 Robe, Michel A. 14 Tse, Yiuman 14 Benth, Fred Espen 13 Hamori, Shigeyuki 13 Kang, Sang Hoon 13 Nicolini, Marcella 13 Todorova, Neda 13 Wei, Yu 13 Chiarella, Carl 12 Daskalaki, Charoula 12 Fernandez-Perez, Adrian 12 Kang, Boda 12 Palaniappan Shanmugam, Velmurugan 12 Sauerbeck, A. 12 Sercu, Piet 12 Tansuchat, Roengchai 12 Torró, Hipòlit 12
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Institution
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National Bureau of Economic Research 20 Commodity Research Bureau 5 UNCTAD / Secretariat 4 USA / Congress / Senate / Committee on Agriculture, Nutrition and Forestry 4 UNCTAD 3 University of Canterbury / Dept. of Economics and Finance 3 India / Forward Markets Commission 2 Institut for Finansiering <Frederiksberg> 2 Institute for Research in the Behavioral, Economic, and Management Sciences 2 Krannert Graduate School of Management 2 Multi Commodity Exchange of India Limited 2 OECD 2 UNCTAD / Task Force on Systemic Issues and Economic Cooperation 2 USA / Subcommittee on Risk Management, Research, and Specialty Crops 2 University of British Columbia / Finance Division 2 University of Minnesota / Department of Applied Economics 2 Österreichisches Institut für Wirtschaftsforschung 2 Alternative Investment Partner AG <Burgdorf> 1 Auswertungs- und Informationsdienst für Ernährung, Landwirtschaft und Forsten 1 Banco Central do Brasil 1 Barchart.com, Inc. 1 Börsen-Buchverlag 1 Börsen-Verein Warenterminmarkt <Kiel> 1 Centre for Economic Policy Research 1 Centro Studi Luca d'Agliano <Turin> 1 Committee on Agriculture and Forestry, U. S. Senate 1 Committee on Governmental Affairs, United States Senate 1 Commodity Exchange Authority, Washington, D. C. 1 Commodity Research Bureau, inc. 1 Common Fund for Commodities 1 Comptroller General, U.S. General Accounting Office 1 Conference on Trade and Development <1, 1964, Genf> 1 Cornell University / Department of Agricultural Economics 1 DLG-Verlag 1 Eric Cuvillier <Firma> 1 Fraunhofer IRB-Verlag 1 Fraunhofer-Institut für Techno- und Wirtschaftsmathematik 1 Friedrich-Schiller-Universität Jena 1 Gottfried Wilhelm Leibniz Universität Hannover 1 Humboldt-Universität zu Berlin 1
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Published in...
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Energy economics 241 The journal of futures markets 180 International review of financial analysis 51 Journal of banking & finance 49 Economic modelling 47 Applied economics 41 American journal of agricultural economics 40 Finance research letters 40 The energy journal 38 Applied economics letters 35 International review of economics & finance : IREF 35 Working paper 33 International Journal of Energy Economics and Policy : IJEEP 30 The handbook of commodity investing 29 Diskussionspapier / Lehrstuhl für Wirtschaftsethik, Martin-Luther-Universität Halle-Wittenberg 28 Applied financial economics 27 Research in international business and finance 25 Journal of agricultural and resource economics : JARE ; the journal of the Western Agricultural Economics Association 23 Working paper / National Bureau of Economic Research, Inc. 22 Journal of international money and finance 20 NBER working paper series 20 Journal of agricultural and applied economics 18 Journal of commodity markets 17 The journal of alternative investments 17 Agricultural finance review 15 Econometric Institute research papers 15 NBER Working Paper 15 The North American journal of economics and finance : a journal of financial economics studies 15 Agricultural economics : the journal of the International Association of Agricultural Economists 14 European review of agricultural economics : ERAE 14 Quantitative finance 14 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 13 The review of financial studies 13 Journal of empirical finance 12 The European journal of finance 12 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 12 Finance India : the quarterly journal of Indian Institute of Finance 11 Journal of risk and financial management : JRFM 11 Journal of the Royal Statistical Society 11 OPEC energy review 11
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Source
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ECONIS (ZBW) 3,808 RePEc 1
Showing 1 - 50 of 3,809
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Optimal hedge ratios and hedging effectiveness : an analysis of the Turkish futures market
Buyukkara, Goknur; Kucukozmen, C. Coskun; Uysal, E. Tolga - In: Borsa Istanbul Review 22 (2022) 1, pp. 92-102
The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures (USD-TRY), euro–Turkish lira (EUR-TRY)...
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Long-short speculator sentiment in agricultural commodity markets
Borgards, Oliver; Czudaj, Robert - 2022
This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...
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Trading activities and the volatility of return on Malaysian crude palm oil futures
Yeap, Xiu Wei; Hooi Hooi Lean - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-15
Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH model is applied by adding the expected and...
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Price and volatility effects of commodity financialization
Kupabado, Moses Mananyi - 2022
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Risk transmission between green markets and commodities
Naeem, Muhammad Abubakr; Sitara Karim; Jamasb, Tooraj; … - 2022
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What drives risk in China's soybean futures market? : evidence from a flexible GARCH-MIDAS model
Wang, Xinyu; Zhang, Lele; Cheng, Qiuying; Shi, Song; … - In: Journal of applied economics 25 (2022) 1, pp. 454-475
Modeling futures market risk simultaneously influenced by macro low-frequency information and daily risk factors is a valuable challenge. We propose a new general framework for it based on the flexible GARCH-MIDAS model. It uses a skewed t distribution to describe the asymmetry of long and short...
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Regime switching mechanism during energy futures' price bubbles
Koy, Ayben - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 1, pp. 373-382
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The impact of the COVID-19 pandemic on the energy market : a comparative relationship between oil and coal
Wang, Qiang; Yang, Xuan; Li, Rongrong - In: Energy strategy reviews 39 (2022), pp. 1-11
The COVID-19 epidemic has severely affected the world economy and energy markets. In order to alleviate the shock, stabilize the financial market, and promote economic recovery, the Fed announced an unlimited QE policy. In order to understand the impact of the policy on the energy market under...
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Risk transmission between green markets and commodities
Naeem, Muhammad Abubakr; Sitara Karim; Jamasb, Tooraj; … - 2022
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Commodity correlation risk
Byrne, Joseph P.; Sakemoto, Ryuta - 2022
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Detecting multiple-equilibria and chaos in oil prices and global commodity markets
Özkaya, Ata - In: International Journal of Research in Business and … 11 (2022) 6, pp. 350-361
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Commodity price forecasting via neural networks for coffee, corn, cotton, oats, soybeans, soybean oil, sugar, and wheat
Xu, Xiaojie; Zhang, Yun - In: Intelligent systems in accounting, finance & management 29 (2022) 3, pp. 169-181
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How Crude Oil Futures Connected with Exchange Rates around COVID-19 Shock? A Tale of Two Markets
Yu, Ziliang; Liu, Yanan; Mang, Huiting; Liu, Xiaomeng - 2022
We examine the high-frequency intraday return and volatility transmission between crude oil futures prices and exchange rates around the COVID-19 shock for both the newly established Renminbi-denominated INE in China and the dollar-denominated Brent in the UK. With controlling for the influence...
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Commodity Momentum Decomposition
Iwanaga, Yasuhiro; Sakemoto, Ryuta - 2022
This study decomposes a momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and...
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Cryptocurrency Uncertainty and Volatility Forecasting of Precious Metal Futures Markets
Wei, Yu; Wang, Yizhi; Lucey, Brian M.; Vigne, Samuel A. - 2022
Several common properties shared by cryptocurrencies and precious metals, such as safe haven, hedge and diversification for risk assets, have been wildly discussed since the day Bitcoin was created in 2008. However, no studies have explored whether cryptocurrency market uncertainties can help to...
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Herding Behaviour in Commodity Markets
Ah Mand, Abdollah; Sifat, Imtiaz; Ang, Wei Kee; Choo, … - 2022
This paper is among the first to investigate high-frequency herding tendencies among exchange traded funds (ETF) traders within the commodities asset class. Operating on 64 popularly traded and liquid ETFs spread across five sub-sectors from 2009 to 2021, we apply four different...
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Spread Options on Commodity Prices
Frau, Carme; Fusai, Gianluca; Kyriakou, Ioannis - 2022
In this work we perform a pricing exercise of different types of spread options; we particularly focus on European calendar and crack spread options. We present the expressions followed by the joint characteristic functions of the underlying log-prices for a panel of bivariate processes. The...
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Pair trading of Commodity Futures in China through the lens of intraday data A Machine Learning Framework and Empirical Analysis
Huang, Ke; Sun, Jifeng; zhang, zuominyang; Li, Qiumei - 2022
In statistical arbitrage, paired trading, as a market-neutral strategy, is widely used because of its simple method and easy implementation. This paper constructs a machine learning framework for commodity futures matching trading from four aspects: systematic feature extraction, unsupervised...
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On Aspects of Inflation in the Context of Commodity and Futures Market
Ewald, Christian-Oliver; Mao, Yixiao - 2022
In order to tackle the non-availability of inflation futures data, we introduce the futures on the CPI proxy (FCP). Compared to over-the-counter inflation-linked derivatives, the FCP is a more accessible tool for inflation forecasting. The time series of the FCP chain is analysed by a two-factor...
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Common drivers of commodity futures?
Dudda, Tom L.; Klein, Tony; Nguyen, Duc Khuong; … - 2022
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Who moves first? : commodity price interdependence through time-varying granger causality
Esposti, Roberto - 2022
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Comovement and contagion in commodity markets
Chalid, Dony Abdul; Handika, Rangga - In: Cogent economics & finance 10 (2022) 1, pp. 1-27
This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating...
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Investigating the impact of geopolitical risks on the commodity futures
Mitsas, Sokratis; Golitsis, Petros; Khudoykulov, Khurshid - In: Cogent economics & finance 10 (2022) 1, pp. 1-24
This paper examines the effect of real-time global geopolitical risks (GPRs), acts (GPAs), and threats (GPTs) indices on monthly returns and volatility of several American commodity futures. By modeling volatility via an Exponential Generalized Autoregressive Conditional Heteroskedasticity...
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Measurement errors in index trader positions data : is the price pressure hypothesis still invalid?
Bohl, Martin T.; Branger, Nicole; Trede, Mark - In: Applied economic perspectives and policy 44 (2022) 3, pp. 1534-1553
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Hedging commodities in times of distress : the case of COVID-19
Magalhães, Luiz Augusto; Silva, Thiago Christiano; … - In: The journal of futures markets 42 (2022) 10, pp. 1941-1959
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Petroleum market volatility tracker in China
Bian, Huabin; Hua, Renhai; Liu, Qingfu; Zhang, Ping - In: The journal of futures markets 42 (2022) 11, pp. 2022-2040
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The impact of COVID-19 on the interdependence between US and Chinese oil futures markets
Zhang, Yongmin; Ding, Shusheng; Shi, Haili - In: The journal of futures markets 42 (2022) 11, pp. 2041-2052
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Arbitrage Breakdown in Wti Crude Oil Futures : An Analysis of the Events on April 20, 2020
Burns, Christopher; Kane, Stephen A - 2022
This study provides novel analysis of the events in the WTI crude oil futures market on April 20, 2020. We detail how the arbitrage linkages between the NYMEX CL contract and the e-mini NYMEX QM contract broke down and report new information about the unusual market conditions on that date....
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Interpolating Commodity Futures Prices With Kriging
Maran, Andrea; Pallavicini, Andrea - 2022
The shape of the futures term structure is essential to commodity hedgers and speculators as futures prices serve as a forecast of future spot prices. Commodity markets quotes futures prices on a selection of maturities and delivery periods. In this note, we investigate a Bayesian technique...
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Risk-free rates and convenience yields around the world
Diamond, William; Van Tassel, Peter - 2022
This paper constructs risk-free interest rates implicit in index option prices for ten of the major G11 currencies. We compare these rates to the yields of government bonds to provide international estimates of the convenience yield earned by safe assets. Average convenience yields across...
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Modelling market indices, commodity market prices and stock prices of energy sector using VAR with variance decomposition model
Meher, Bharat Kumar; Hawaldar, Iqbal Thonse; Kumar, Santosh - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 4, pp. 122-130
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Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji; Bunn, Derek W.; Yamada, Yuji - In: Quantitative finance 22 (2022) 5, pp. 835-860
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Do rare earths and energy commodities drive volatility transmission in sustainable financial markets? : evidence from China, Australia, and the US
UI Haq, Inzamam; Nadeem, Hira; Apichit Maneengam; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22
The high volatility and energy usage of rare earths have raised sustainable and financial concerns for environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare earths elements, energy commodities, and sustainable...
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The effect of energy prices on stock indices in the period of COVID-19 : evidence from Russia, Turkey, Brazil, and India
Akbulaev, Nurkhodzha; Mammadli, Elshan; Bayramli, Gadir - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 3, pp. 262-269
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Swaps : Commodities Laws in Transition
Taylor-Brill, Barry - 2022
In 1987, the Commodity Futures Trading Commission (CFTC) began analyzing whether swaps were futures under the Commodity Exchange Act (CEA). If yes, over-the-counter (OTC) swaps would violate the CEA’s exchange trading requirement. Rather than address this in a proposed rulemaking, the CFTC...
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The Commodity Exchange Act and Other Bucket Shop Laws : The Future of Commodity Swaps Without Preemption
Taylor-Brill, Barry - 2022
In 1987, the Commodity Futures Trading Commission (CFTC) began analyzing whether swaps were futures under the Commodity Exchange Act (CEA). If yes, over-the-counter (OTC) swaps would violate the CEA’s exchange trading requirement. Rather than address this in a proposed rulemaking, the CFTC...
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Commodity Futures Return Predictability and Intertemporal Asset Pricing
Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2022
We find out-of-sample predictability of commodity futures excess returns using combination forecasts of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....
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Maturity effect in commodity market : empirical evidences from Multi-Commodity Exchange (MCX)
Bamba, Meera; Aggarwal, Mamta; Verma, Monika - In: Thailand and the world economy 40 (2022) 1, pp. 69-87
The current paper examines the maturity effect which states that “the futures prices volatility increases as the futures contract approaches its maturity period”. As per maturity effect theory, when a contract approaches its delivery date, the flow of information affects the prices. The...
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Role of crude oil futures in financial portfolios under financialization
Kanamura, Takashi - In: The journal of alternative investments : JAI 24 (2022) 4, pp. 64-89
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Volatility shocks in energy commodities : the influence of COVID-19
Pastory, Dickson; Munishi, Emmanuel - In: International Journal of Research in Business and … 11 (2022) 2, pp. 214-227
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Futures-spot price transmission in EU corn markets
Penone, Carlotta; Giampietri, Elisa; Trestini, Samuele - In: Agribusiness : an international journal 38 (2022) 3, pp. 679-709
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The Variance Risk Premium in Crude Oil Futures Markets : Incorporating the OVX Time Series in a Stochastic Volatility Model
Le Grand, Francois; Schneider, Lorenz - 2022
In this paper we propose a stochastic volatility model for crude oil markets that has the particularity to feature a regime-switching price of variance-risk. While preserving tractability, this model allows us to capture the episodes of negative and positive variance risk premium. A two-state...
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Futures Markets Reaction to Crude Oil Inventory News Announcements : Asymmetric Return Response Patterns
Bu, Hui - 2022
This study investigates how prices respond to unanticipated crude oil inventory shocks and how quickly the markets incorporate news in crude oil, gasoline, and heating oil futures markets by using structured vector autoregression (SVAR) models based on EIA inventory report announcement and news...
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Suitable Price Discovery Measurement of Bitcoin Spot and Futures Markets
Robertson, Kevin; Zhang, Jiani - 2022
Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...
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Corn Futures Deliveries : Why? When? So What?
M. O. Fernandes, Vitor; Kunda, Eugene; Robe, Michel A. - 2022
For grain and oilseed futures, deliveries facilitate convergence by allowing for arbitrage between the physical commodity and the “paper” (i.e., futures) markets. A sizeable literature has looked at deliveries to answer questions about price convergence and about the value of options...
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The Pricing of Geopolitical Risk in Cross-Sectional Commodity Returns
Cheng, Daxuan; Liao, Yin; Pan, Zheyao - 2022
In this study, we investigate whether geopolitical risk is a pricing factor in cross-sectional commodity futures returns. By estimating the exposure of commodity futures returns on a geopolitical risk index, we find that commodities with high-risk beta generate 7.92% higher annual returns than...
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To jump or not to jump : momentum of jumps in crude oil price volatility prediction
Zhang, Yaojie; Wang, Yudong; Ma, Feng; Wei, Yu - In: Financial innovation : FIN 8 (2022), pp. 1-31
A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the jump component is persistent when forecasting the oil...
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Sample Frequency Robustness and Accuracy in Forecasting Value at Risk for Brent Crude Oil Futures
Ewald, Christian-Oliver; Hadina, Jelena; Haugom, Erik; … - 2022
In this paper we propose a simple one-factor quantile regression model based on realized volatility to forecast Value-at-Risk (VaR). The model only uses daily realized volatility as input and thus simplifies estimation substantially compared with most other methodologies currently used to...
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The Effects of Commodities and Financial Markets on Crude Oil
Galyfianakis, George Galyfianakis; Garefalakis, Alexandros - 2022
Investigating crude oil price volatility is crucial, because crude oil price certainly affects the economy through many channels. This study applies a Vector Auto Regression (VAR) model to examine the impact of crude oil market on basic commodities, financial markets and industrial production....
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Volatility in Us Dairy Futures Market
Fan, Steve Z.; Jump, Jeff; Tse, Yiuman; Yu, Linda - 2022
US dairy futures markets of milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing scheme. We show dairy volatilities have a relatively low connectedness among themselves and a commodity index. Dairy futures markets respond to...
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