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Year of publication
Subject
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Rohstoffderivat 3,836 Commodity derivative 3,835 Volatility 1,094 Volatilität 1,092 Warenbörse 1,030 Commodity exchange 1,024 Welt 786 World 784 Oil price 708 Ölpreis 708 Theorie 699 Theory 699 Derivat 654 Derivative 654 Rohstoffmarkt 582 Rohstoffpreis 582 Commodity price 580 Commodity market 568 USA 560 United States 555 Estimation 549 Schätzung 548 Hedging 497 Erdöl 428 Petroleum 428 ARCH model 381 ARCH-Modell 381 Börsenkurs 353 Share price 353 Forecasting model 316 Prognoseverfahren 316 Oil market 295 Ölmarkt 295 Capital income 288 Kapitaleinkommen 288 Portfolio selection 254 Portfolio-Management 254 Speculation 254 Spekulation 249 Spot market 214
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Online availability
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Free 1,220 Undetermined 971
Type of publication
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Article 2,341 Book / Working Paper 1,645 Journal 5 Other 2
Type of publication (narrower categories)
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Article in journal 2,138 Aufsatz in Zeitschrift 2,138 Graue Literatur 493 Non-commercial literature 493 Working Paper 413 Arbeitspapier 409 Aufsatz im Buch 161 Book section 161 Hochschulschrift 96 Thesis 77 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 Aufsatzsammlung 14 Ratgeber 13 Guidebook 12 Lehrbuch 11 Textbook 11 Glossar enthalten 9 Glossary included 9 Handbook 8 Handbuch 8 Article 6 Bibliografie enthalten 5 Bibliographie 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
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Language
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English 3,767 German 131 Undetermined 83 French 8 Spanish 5 Italian 4 Portuguese 4 Arabic 1
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Author
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McAleer, Michael 55 Irwin, Scott H. 48 Prokopczuk, Marcel 39 Till, Hilary 35 Chang, Chia-Lin 33 Pies, Ingo 32 García, Philip 26 Ma, Feng 26 Manera, Matteo 24 Sanders, Dwight R. 24 Chevallier, Julien 23 Xiong, Wei 23 Rouwenhorst, K. Geert 22 Lien, Da-hsiang Donald 21 Miffre, Joëlle 21 Tang, Ke 20 Hammoudeh, Shawkat 18 Nguyen, Duc Khuong 18 Schwartz, Eduardo S. 17 Glauben, Thomas 16 Bohl, Martin T. 15 Ji, Qiang 15 Prehn, Sören 15 Tse, Yiuman 15 Hamori, Shigeyuki 14 Robe, Michel A. 14 Benth, Fred Espen 13 Fernandez-Perez, Adrian 13 Kang, Sang Hoon 13 Nicolini, Marcella 13 Tansuchat, Roengchai 13 Todorova, Neda 13 Wei, Yu 13 Brooks, Chris 12 Chiarella, Carl 12 Daskalaki, Charoula 12 Hooi Hooi Lean 12 Kang, Boda 12 Karali, Berna 12 Narayan, Paresh Kumar 12
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Institution
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International Monetary Fund (IMF) 33 National Bureau of Economic Research 20 International Monetary Fund 9 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 9 Federal Reserve Board (Board of Governors of the Federal Reserve System) 6 Commodity Research Bureau 5 OECD 4 UNCTAD / Secretariat 4 USA / Congress / Senate / Committee on Agriculture, Nutrition and Forestry 4 UNCTAD 3 University of Canterbury / Dept. of Economics and Finance 3 Université Paris-Dauphine (Paris IX) 3 Agricultural and Applied Economics Association - AAEA 2 Center for Nonlinear Dynamics in Economics and Finance (CeNDEF), Faculteit Economie en Bedrijfskunde 2 Federal Reserve Bank of New York 2 Finance Discipline Group, Business School 2 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 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 Bank of England 1 Barchart.com, Inc. 1 Bundesforschungsinstitut für Lädliche Räume, Wald und Fischerei, Johann Heinrich von Thünen-Institut (vTI) 1 Börsen-Buchverlag 1 Börsen-Verein Warenterminmarkt <Kiel> 1 CFA Institute <Charlottesville, Va.> 1 Centre for Economic Policy Research 1 Centro Studi Luca d'Agliano <Turin> 1 College of Business, University of Texas-San Antonio 1 Committee on Agriculture and Forestry, U. S. Senate 1 Committee on Governmental Affairs, United States Senate 1
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Published in...
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Energy economics 247 The journal of futures markets 180 International review of financial analysis 53 Journal of banking & finance 50 Economic modelling 47 Applied economics 41 Finance research letters 41 American journal of agricultural economics 40 The energy journal 40 International review of economics & finance : IREF 38 Applied economics letters 36 Working paper 34 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 IMF Working Papers 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 18 The journal of alternative investments 17 Agricultural finance review 15 Econometric Institute research papers 15 NBER Working Paper 15 Quantitative finance 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 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 13 The review of financial studies 13 Journal of empirical finance 12 Pacific-Basin finance journal 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
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Source
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ECONIS (ZBW) 3,848 RePEc 113 USB Cologne (EcoSocSci) 17 EconStor 10 BASE 5
Showing 1 - 50 of 3,993
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Price transmission in cotton futures market : evidence from three countries
Singh, Amrinder; Soni, Tarun Kumar - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-13
This study examines the price transmission between cotton prices in U.S., Indian, and Chinese futures markets. We focus on studying the long-run price movements using cointegration and alternate causality tests. The empirical results indicate the following: (a) the U.S. cotton futures market...
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The macroeconomic variables impact on commodity futures volatility : a study on Indian markets
Sreenu, Nenavath; Rao, K. S. S.; Kishan, D. - In: Cogent business & management 8 (2021) 1, pp. 1-17
The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in India (together with oil futures, agricultural commodity futures and metal futures). The monetary policies, financial market information and economic environments are determined...
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On the role of commodity futures in portfolio diversification
Hooi Hooi Lean; Nguyen, Duc Khuong; Sensoy, Ahmet; … - In: International transactions in operational research : a … 30 (2023) 5, pp. 2374-2394
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Robust optimization-based commodity portfolio performance
Adhikari, Ramesh; Putnam, Kyle J.; Panta, Humnath - In: International Journal of Financial Studies : open … 8 (2020) 3/54, pp. 1-17
This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and...
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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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Do extreme CIT position changes move prices in grain futures markets?
Li, Jiarui; Irwin, Scott H.; Etienne, Xiaoli - In: Journal of agricultural and applied economics : JAEE 54 (2022) 4, pp. 792-814
Most previous studies reject the basic tenet of the Masters Hypothesis that the influx of financial index investments has pressured agricultural futures prices upwards substantially. However, the impact of index investment activities may be more complicated and nuanced than can be detected by...
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Exploring the asymmetric effects of economic policy uncertainty and implied volatilities on energy futures returns : novel insights from quantile-on-quantile regression
Bossman, Ahmed; Gherghina, Ştefan Cristian; … - In: Journal of business economics and management 23 (2022) 6, pp. 1351-1376
This study examined the asymmetric effects of major uncertainty and volatility indices (economic policy uncertainty, Chicago Board Options Exchange crude oil volatility, CBOE volatility index, CBOE VIX volatility, and NASDAQ 100 volatility target) on the returns of global energy and its...
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The impact of soybean futures and crude oil futures on palm oil indexes : evidence from bounds test of level relationship and causality analysis
Izaan Jamil; Mori Kogid; Lim, Thien Sang; Jaratin Lily - In: Economies : open access journal 10 (2022) 10, pp. 1-13
This paper investigates the impact of soybean and crude oil futures on palm oil indexes by utilising monthly data from three palm oil indexes listed in Bursa Malaysia, i.e., the Asian palm index, Malaysian palm index, and Plantation index, spanning from January 2010 to June 2020. The impacts...
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Quantifying information transfer between commodities and implied volatilities in the energy markets : a multi-frequency approach
Qabhobho, Thobekile; Asafo-Adjei, Emmanuel; Owusu … - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 5, pp. 472-481
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Commodity futures hedge ratios : a meta-analysis
Białkowski, Je̜drzej; Bohl, Martin T.; Perera, Devmali - 2022
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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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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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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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Trading strategies and return patterns in commodity futures markets
Rothenberger, Marcel - 2022
This thesis analyzes commodity futures pricing, trading activities in commodity futures contracts and their use for investment strategies. The aim of this thesis is to fill important gaps in the research field of commodity markets and to highlight special characteristics of commodity futures. It...
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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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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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Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.; Ngo, Julie T. D. - In: Quantitative finance 22 (2022) 11, pp. 2079-2091
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Time-frequency spillover effect of domestic and foreign commodity markets on China's price levels
Guo, Wenwei; Tang, Jing; Zhu, Hongjin; Ma, Xiaowen - In: Emerging markets, finance and trade : EMFT 58 (2022) 15, pp. 4207-4217
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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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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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Companies as Commodities
D'Onfro, Danielle - 2022
Like copper, corn, or crude oil, companies increasingly trade like commodities. Some investors — certain holders of debt, activist shareholders, and controlling shareholders, especially private equity funds — are focused solely on returns. In practice, this means that they care about the...
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Oil futures volatility predictability : new evidence based on machine learning models
Lu, Xinjie; Ma, Feng; Xu, Jin; Zhang, Zehui - 2022
This paper comprehensively investigates the connection between oil futures volatility and the financial market based on a data-rich and model-rich environment, which contains traditional prediction models, machine learning models, and combination models. The results highlight the efficiency of...
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