Results 11 to 20 of about 1,135,713 (311)
Forecasting volatility in commodity markets with long-memory models [PDF]
, 2022 Commodities are the most volatile markets, and forecasting their volatility is an issue of paramount importance. We examine the dynamics of commodity markets volatility by employing three typical long-memory models: fractional integrated generalized ...
Nikitopoulos, CS +3 more
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Jumps in commodity markets [PDF]
Journal of Commodity Markets, 2017 This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors.
Nguyen, Duc Binh Benno +1 more
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, 2023 Considerable studies have examined the relationship between commodity markets and stock markets. This paper studies the cyclical relationship between commodity markets and stock markets with implications for investing based on index relationships.
Maria Bampasidou +7 more
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Smile Modelling in Commodity Markets [PDF]
SSRN Electronic Journal, 2018 We present a stochastic local volatility model for derivative contracts on commodity futures able to describe forward curve and smile dynamics with a fast calibration to liquid market quotes. A parsimonious parametrization is introduced to deal with the limited number of options quoted in the market.
EMANUELE NASTASI +2 more
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Model Uncertainty in Commodity Markets [PDF]
SSRN Electronic Journal, 2015 Summary: Agents who acknowledge that their models are incorrectly specified are said to be ambiguity averse, and this affects the prices they are willing to trade at. Models for prices of commodities attempt to capture three stylized features: seasonal trend, moderate deviations (a diffusive factor), and large deviations (a jump factor) both of which ...
Álvaro Cartea +2 more
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Financialization in Commodity Markets [PDF]
, 2017 The financialization view is that increased trading in commodity futures markets is associated with increases in the growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased sharply and many commodity prices rose and became more volatile.
Chari, Varadarajan V. +1 more
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Commodity indexes and the stock markets of the GCC countries
Arab Economic and Business Journal, 2018 Much research is devoted to the study of the effect of oil on GCC markets. The link is evident, although waning. Little is known about the effect of other commodities, maybe because intuitively they are thought not to impact significantly these markets ...
Samih Antoine Azar +1 more
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Frontiers in Energy Research, 2020 We study the time-frequency dynamics of stochastic volatility spillovers between international crude oil markets and China's commodity sectors in the spectral representation framework of generalized forecast error variance decomposition (GFEVD).
Zhenghui Li, Yaya Su
doaj +1 more source
Business Review, 2023 Using a time-dependent copulas model, this study attempts to investigate the risk spillover from global energy markets to Pakistan’s agricultural commodities market.
Hira Saeed +2 more
doaj +1 more source
Anomalies in Commodity Futures Markets [PDF]
The Quarterly Journal of Finance, 2021 In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables.
Fabian Hollstein +2 more
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