Search Results - subject_exact:"Commodity derivative"

Forecasting commodity prices using futures : the case of copper

Cortazar, Gonzalo; Enberg, Mariavictoria; Ortega, Hector - 2026

This paper analyzes three forecasting methods for commodity spot prices and applies them to copper prices. The first method uses futures prices from either LME or COMEX. The second method uses analysts' consensus expectations, reported by Bloomberg. The third method jointly uses futures and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611243

Systemic risk transmission in commodity markets

Georgescu, Irina - 2026

This paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy vine copula framework applied to gold, crude oil, natural gas, and silver from 1 January 2015 to 1 January 2025, extracted from Yahoo Finance. Bootstrap-based trapezoidal fuzzy...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614141

Can soybean tariff shocks trigger abnormal asymmetric phenomena in futures markets? : evidence from the 2025 U.S.-China trade friction

Chen, Arthur Walter; Zhang, Zichen - 2026

This study, set against the backdrop of escalating trade tensions between China and the United States, examines the impact of soybean tariff adjustments on the abnormal asymmetric behavior in the futures market. By employing specialized analytical methods that capture market volatility asymmetry...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591120

The dynamic relationship between natural gas and commodity prices through the Russian-Ukrainian crisis framework

Amamou, Souhir Amri; Bargaoui, Saoussen Aguir; Ifa, Adel - 2026

This paper aims to investigate the sensitivity of the gas market: Russian Natural Gas and Liquefied Gas, to other commodity categories. It sheds light on the Russian-Ukrainian crisis by using an Autoregressive Distributed Lag model on daily prices of Russian Natural Gas, Liquefied Natural Gas,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015603758

Geopolitical risk in financial markets : an analysis of commodity hedging and stock returns in Europe

Bertelli, Beatrice; Torricelli, Costanza - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640483

A novel framework for probabilistic forecasting of electricity forward curves

Dietze, Marina; Valladão, Davi; Street, Alexandre; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644731

Commodity Markets Outlook, April 2026

2026

The war in the Middle East represents a historic shock to commodity markets, resulting in the largest oil supply loss on record. Assuming the most acute phase of commodity trade disruptions ends shortly and shipping volumes gradually return to near prewar levels by October, average commodity...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656090

Ambiguity about volatility in the commodity futures market

Verousis, Thanos; Wang, Kai; Zhou, Zhiping - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015632674

The relationship between spot and future cryptocurrencies : a VECM and GARCH approaches

Amamou, Souhir Amri; Ali, Balkissa Hassane - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664986

Unveiling unspanned macroeconomic factors in oil futures price dynamics : evidence from China's oil futures market

Ji, Zhihao; Liu, Jiangfeng; Gao, Li - 2026

Global energy security and the stability of industrial chains increasingly hinge on the accuracy of crude oil futures price (COFP) discovery. Traditional models often overlook the unspanned macroeconomic factors (UMFs), which represent latent risks existing outside the immediate pricing...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677812

Oil price transmission, synthetic-rubber substitution, and inventory regimes in China-Thailand rubber markets

Montchai Pinitjitsamut - 2026

This paper examines how international crude-oil price movements are transmitted to natural-rubber prices through the petrochemical-synthetic-rubber chain, with implications for Thailand as the world's leading natural-rubber exporter and China as the dominant consumer. Using monthly data from...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676349

Inflation hedging potential of commodity indices and futures for U.S. investors

Adhikari, Ramesh; Ki, YoungHa - 2026

This study provides a comprehensive examination of the inflation-hedging potential of commodity indices and futures for U.S. investors using monthly data spanning July 1959 to December 2025 for 27 individual commodities, and January 1947 to November 2025 for 13 commodity indices. We employ...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061659

Gold and oil in periods of financial turmoil : a LSTAR GARCH bivariate copula investigation

Cifarelli, Giulio - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675828

Perpetual futures in decentralised finance : mechanics, economic claims, and the drivers of trading volume

Shah, Siddhant; Pinsky, Eugene - 2026

DeFi perpetual futures have expanded from crypto-native instruments to tokenised equities and commodities, yet the economics of these instruments remain poorly understood. We study 17 assets-5 crypto coins, 8 tokenised equities, and 4 tokenised commodities-on three DeFi perpetual platforms...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063938

Gold-backed cryptocurrencies, precious metals, and hedging performance : evidence from dynamic dependence structures

Snene Manzli, Yasmine; Panazan, Oana; Jeribi, Ahmed; … - 2026

This study compares gold-backed and conventional cryptocurrencies in terms of dependence structures and hedging effectiveness relative to precious metals. Daily data for gold, silver, cryptocurrencies, gold-backed cryptocurrencies, and USD-backed stablecoins from July 2020 to March 2026 are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063944

Liquidity, monetary policy and the commodity futures market

Ivan, Miruna-Daniela; Banti, Chiara; Kellard, Neil - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016062683

Political uncertainty and commodity markets

Hou, Kewei; Tang, Ke; Tao, Yubo (Robert); Zhang, Bohui - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016071158

Speculative trading in energy markets : evidence from macroeconomic surprises

Boucher, Simon-Pierre; Gagnon, Marie-Hélène; Power, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064015

Is liquidity provision informative? : evidence from agricultural futures markets

Ma, Richie R.; Serra, Teresa - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015166730

Evaluating the hedging potential of energy, metals, and agricultural commodities for U.S. stocks post-COVID-19

Han, SeungOh - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374372

Comparison of the interdependence relationship between crude oil futures and spot in China and international crude oil markets : evidence from time-frequency and quantile perspectives

Shi, Fengyuan; Deng, Yiwen; Guo, Yaoqi - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374477

Using futures prices and analysts' forecasts to estimate agricultural commodity risk premiums

Cortazar, Gonzalo; Ortega, Hector; Pérez, José Antonio - 2025

This paper presents a novel 5-factor model for agricultural commodity risk premiums, an approach not explored in previous research. The model is applied to the specific cases of corn, soybeans, and wheat. Calibration is achieved using a Kalman filter and maximum likelihood, with data from...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331232

Spillover effects between China's new energy and carbon markets and international crude oil market : a look at the impact of extreme events

Zhang, Yong; Tang, Guangyuan; Li, Rong - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331886

Dynamic connectedness of climate risks, oil shocks, and China’s energy futures market : time-frequency evidence from Quantile-on-Quantile regression

Ren, Ying-hua; Wang, Nairong; Zhu, Huiming - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015337994

Risk spillovers between Chinese new energy futures and carbon-intensive assets : asymmetric effect, time-frequency dynamics, and portfolio strategies

Su, Xianfang; Zhao, Yachao - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338006

Macroeconomic conditions, speculation, and commodity futures returns

Adhikari, Ramesh; Putnam, Kyle J. - 2025

This paper examines the dynamic relationships between speculative activities, commodity returns, and macroeconomic conditions across five sectors compassing 29 commodities. Using weekly data spanning from January 2000 to July 2023, we construct comprehensive measures of commodity market...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338404

What drives commodity price variation?

Han, Meng; Dam, Lammertjan; Pohl, Walter - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015357651

Multiscale dynamic interdependency between China's crude oil futures and petrochemical-related commodity futures : an integrated perspective from the industry chain system

Yang, Jie; Feng, Yun; Yang, Hao - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015359789

Media emotion intensity and commodity futures pricing

Chi, Yeguang; Jahel, Lina el; Vu, Thanh - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015329500

Commodity futures deliveries : theory and evidence from the US corn market

Fernandes, Vitor M. O.; Kunda, Eugene L.; Robe, Michel A. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464867

The silent disco : speculation in bearish commodity markets and the role of liquidity

Ganepola, Chanaka N.; Ordu-Akkaya, Beyza Mina - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464879

The reaction of corn futures markets to US and Brazilian crop reports

Silveira, Rodrigo Lanna Franco da; Silva, Renato Moraes; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464889

Commodity option return predictability

Aka, Constant; Gagnon, Marie-Hélène; Power, Gabriel J. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464901

News sentiment and commodity futures investing

Chi, Yeguang; Jahel, Lina el; Vu, Thanh - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464910

Forecasting the value at risk of the crude oil futures market : do high-frequency data help?

Lyu, Yongjian; Yi, Heling; Qin, Fanshu; Liu, Jiatao; Ke, Rui - 2025

This paper presents the first formal comparison of Value at risk (VaR) forecasting performance across various high-frequency volatility models and conventional benchmarks using daily data in the crude oil futures market. Our analysis reveals the following key findings:(1) High-frequency data...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015467313

Does financial stress affect commodity futures traders' positions?

Du, Shengwu; Nesmith, Travis D.; Heppe, Yang - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471416

Commodity Markets Outlook, April 2025

2025

Commodity prices are set to fall sharply this year, by about 12 percent overall, as weakening global economic growth weighs on demand. In 2026, commodity prices are projected to reach a six-year low. Oil prices are expected to exert substantial downward pressure on the aggregate commodity index...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015411940

Volatility spillovers and conditional correlations between oil, renewables and stock markets : a multivariate GARCH-in-mean analysis

Wang, Wenxue; Moffatt, Peter G.; Zhang, Zheng; Raza, … - 2025

We investigate linkages between three different markets: renewable energy (represented by a range of renewable energy ETFs); traditional energy (represented by crude oil ETF); and common stocks (represented by the S&P 500 Index ETF). We use daily data from 2008 to 2021. The econometric framework...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015432140

Linking futures and options pricing in the natural gas market

Rotondi, Francesco - 2025

A robust model for natural gas prices should simultaneously capture the observed prices of both futures and options. While incorporating a seasonal factor in the convenience yield of the spot price effectively replicates forward curves, it proves insufficient for accurately modelling the options...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015436556

Early warning of bubbles in the agricultural commodity market : evidence from LPPLS confidence indicators

Xu, Hai-Chuan; Tan, Yu-Zhen; Fan, Han-Xiao; Zhou, Wei-Xing - 2025

This study leverages the Log-Periodic Power Law Singularity (LPPLS) confidence indicator to effectively identify bubbles in agricultural commodity markets. We analyze five major grain price indices reported by the International Grains Council (IGC) from January 2000 to April 2023, successfully...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015437814

Are European and U.S. natural gas futures markets integrated? : insights from network-connectedness and cross-herding analysis

Amar, Amine Ben; Lmasrar, Boutaina; Bouattour, Mondher - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015437952

Do financial markets and safe-haven assets affect CBDCs? : examining the Nexus between CBDC, Stock Index, metal commodity futures, oil price, and volatility

Memon, Bilal Ahmed; Nusratova, Gulhayo - 2025

Understanding the determinants of central bank digital currencies (CBDCs) is crucial for ensuring financial stability, fostering innovation, and framing effective policies associated with the digitalization of currency. Therefore, we study how financial markets and safe haven assets can affect...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438639

Is Bitcoin a safe-haven asset during U.S. presidential transitions? : a time-varying analysis of asset correlations

Pathairat Pastpipatkul; Htwe Ko - 2025

Amid the growing debate over how cryptocurrencies are reshaping global finance, this study explores the nexus between Bitcoin, Brent Crude Oil, Gold and the U.S. Dollar Index. We used a time-varying vector autoregressive (tvVAR) model to examine the connection among these four assets during the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015457569

Is corn still king? : unravelling time-varying interactions among soft commodities

Sayed, Ayesha; Auret, C. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015457625

Disentangling timing uncertainty of event-driven connectedness among oil-based energy commodities

Kočenda, Evžen; Bartušek, Daniel - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015457987

Show one more version 1

Disentangling timing uncertainty of event-driven connectedness among oil-based energy commodities

Kočenda, Evžen; Bartušek, Daniel - 2024

Book / Working Paper

Real effects of centralized markets : evidence from steel futures

Martin, Thorsten - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015458809

Mean reversion of the soybean crush spread : a new model and trading strategies

Abdoh, Hussein; Chitavi, Michael - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015459557

The role of storage in commodity markets : indirect inference based on grain data

Gouel, Christophe; Legrand, Nicolas - 2025

We develop an indirect inference approach relying on a linear supply and demand model serving as an auxiliary model to provide the first full empirical test of the rational expectations commodity storage model. We build a rich storage model that incorporates a supply response and four structural...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015425389

Energy, metals, cereals and G7 indices : Russia-Ukraine conflict and risk spillovers

Leone, Maria; Manelli, Alberto; Pace, Roberta - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015506751

Does excess futures market demand affect the spot price of oil?

DeCoste, Joseph - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015608197