Results 221 to 230 of about 11,064 (263)
The Dynamics of Commodity Prices [PDF]
SSRN Electronic Journal, 2011 In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties to those of the equity market. We observe a substantial degree of heterogeneity in the behavior of the series.
Brooks, Chris, Prokopczuk, Marcel
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Pricing average options on commodities [PDF]
Journal of Futures Markets, 2010 This paper proposes a new approximation formula for average options on commodities under stochastic volatility environment. In particular, it derives a formula under two stochastic volatility models such as Heston and λ-SABR models including the SABR model as a special case by using an asymptotic expansion method.To our knowledge, this paper is the ...
Kenichiro Shiraya, Akihiko Takahashi
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On the Comovement of Commodity Prices
American Journal of Agricultural Economics, 2006We present strong evidence against the excess‐comovement hypothesis—that the prices of commodities move together beyond what can be explained by fundamentals. Prior studies employ broad macroeconomic indicators to explain common price movements, and potentially correlated fundamentals are not controlled for.
Ai, C, Chatrath, A, Song, F
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Commodity price effects on currencies
Journal of International Money and Finance, 2022Using quarterly data on four commodity exporting countries, we study the explanatory power of real commodity prices for predicting real effective exchange rates, with special attention to the separate roles of different sectoral commodity prices during alternative time periods. We find that the commodity price effect is non-uniform across countries and
Cheung, Yin-Wong, Wang, Wenhao
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Should Commodity Investors Follow Commodities' Prices?
SSRN Electronic Journal, 2018Summary: Most institutional investors gain access to commodities through diversified index funds, even though mean-reverting prices and low correlation among commodities' returns suggest that two-fund separation does not hold for commodities. In contrast to demand for stocks and bonds, we find that, on average, demand for commodities is largely ...
Paolo Guasoni +2 more
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Are shocks to commodity prices persistent? [PDF]
Applied Energy, 2011 This paper considers the issue of whether shocks to ten commodity prices (gold, silver, platinum, copper, aluminum, iron ore, lead, nickel, tin, and zinc) are persistent or transitory. We use two recently developed unit root tests, namely the Narayan and Popp (NP) [14] test and the Liu and Narayan (LN) [26] test.
Paresh Kumar Narayan, Ruipeng Liu
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Commodity prices and related equity prices
Canadian Journal of Economics/Revue canadienne d'économique, 2014AbstractThis paper shows that commodity‐sensitive stock price indices have strong power in predicting nominal and real commodity prices at short horizons (one‐month‐ahead predictions) using both in‐ and out‐of‐sample tests. The forecasts based on commodity‐sensitive stock price indices are able to significantly outperform naïve no‐change forecasts. For
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Fukushima effect on commodity prices
2013 10th International Conference on the European Energy Market (EEM), 2013This paper analyzes the effect of the earthquake occurred in March 2011 in Japan on nuclear power generation. More specifically as natural consequence, the hypothesis of moving towards generating sources different from nuclear are explored. Given the CO2 constraints and the discussion on biomass generation affecting the agricultural commodities prices,
SCANDOLO, GIACOMO, Angelica Gianfreda
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2020
This chapter offers a detailed analysis of the goods routinely exchanged in Anglo-Gascon trade across 1300–1500, how their markets functioned, and the trajectories in their price and volume. The volatility in the market for wine is emphasised. Though trade levels declined spectacularly in scale over the fourteenth century, it remained the key export ...
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This chapter offers a detailed analysis of the goods routinely exchanged in Anglo-Gascon trade across 1300–1500, how their markets functioned, and the trajectories in their price and volume. The volatility in the market for wine is emphasised. Though trade levels declined spectacularly in scale over the fourteenth century, it remained the key export ...
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A Theory of Commodity Price Fluctuations
Journal of Political Economy, 1996This paper studies the price fluctuations of storable commodities that are traded in open markets and are subject to random shocks to demand or, more particularly, to supply. It relaxes the common assumption that the shocks are identically and independently distributed in favor of temporally dependent and periodic disturbances.
Chambers, Marcus J, Bailey, Roy E
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