2024 | Journal of the Operational Research Society: Vol. 75, Issue 8 | An explainable AI-enabled granular ensemble machine learning framework to demystify fertilizer price movements | Boda Kang, Christina Sklibosios Nikitopoulos, Marcel Prokopczuk | http://dx.doi.org/10.1002/9781119109440.refs |
2024 | Energy Economics | The tail risk premium in the oil market | Stephen M. Horan, Jeffrey H. Peterson, James Mahar | http://dx.doi.org/10.2139/ssrn.1322164 |
2024 | Journal of Economic and Administrative Sciences | Impact of the Israel–Hamas conflict on financial markets of MENA region – a study on investors’ reaction | Lawrence M. Vielhaber | http://dx.doi.org/10.2139/ssrn.2871932 |
2024 | Resources Policy: Vol. 93 | Time-varying causality and correlations between spot and futures prices of natural gas, crude oil, heating oil, and gasoline | Naomi Boyd, Bingxin Li, Rui Liu | http://dx.doi.org/10.1016/j.qref.2013.01.003 |
2024 | SSRN Electronic Journal | The Concave and Convex Profiles of Productive and Scarce Assets | Peng Liu, Ke Tang | http://dx.doi.org/10.1016/B978-0-12-822927-9.00022-7 |
2024 | Energy Economics: Vol. 140 | Price discovery redux—Analyzing energy spot and futures prices using a dynamic programming approach | Donald Murry, Zhen Zhu | http://dx.doi.org/10.1017/9781108399685.010 |
2024 | Journal of Applied Economics: Vol. 27, Issue 1 | Nonlinear price transmission and asynchronous price bubbles: empirical evidence from China’s agricultural futures and spot markets | Dragan Miljkovic, Cole Goetz | http://dx.doi.org/10.1002/9781119508991.refs |
2024 | IEEE Engineering Management Review: Vol. 52, Issue 2 | Supply Chain Finance: How Do Supply Chain Strategies Perform in Mitigating Supply Chain Disruption and Commodity Price Volatility Risks? | | http://dx.doi.org/10.1016/j.ijhm.2014.12.005 |
2024 | Journal of Futures Markets: Vol. 44, Issue 12 | Co‐Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis | Leif B. G. Andersen | http://dx.doi.org/10.5547/01956574.42.4.dkoo |
2024 | Agribusiness | An investigation of the price discovery role of futures markets: A dynamic time warping analysis of the United States corn markets | Daniele Valenti, Matteo Manera, Alessandro Sbuelz | http://dx.doi.org/10.29252/jemr.8.32.7 |
2024 | Research in Transportation Business & Management: Vol. 56 | The convenience benefits of the shipping market: Evidence from C3 and C5 FFAs | Gianluca Fusai, Marina Marena, Giovanni Longo | http://dx.doi.org/10.2139/ssrn.2154642 |
2024 | The Energy Journal: Vol. 45, Issue 2 | How to Value Proved but Undeveloped Petroleum Reserves | Derek W. Bunn | http://dx.doi.org/10.5547/ISSN0195-6574-EJ-Vol31-No2-5 |
2024 | Journal of Futures Markets: Vol. 44, Issue 11 | Asymptotic Dependence and Its Impact on Hedging Effectiveness: An Examination of Stock, Currency, and Commodity Futures | Derek Lemoine | http://dx.doi.org/10.1016/j.eneco.2020.104906 |
2023 | Journal of Economic Surveys: Vol. 37, Issue 4 | What do we know about informational efficiency? Three puzzles and the new direction forward | Kristian Støre, Stein-Erik Fleten, Verena Hagspiel, Cláudia Nunes | http://dx.doi.org/10.2139/ssrn.2137346 |
2023 | SSRN Electronic Journal | Impacts of CME Changing Mechanism for Allowing Negative Oil Prices on Prices and Trading Activities in the Crude Oil Futures Market | Qiang Zhao, Guiding Gu | http://dx.doi.org/10.1017/9781108399685.026 |
2023 | Energy Economics: Vol. 121 | A weekly structural VAR model of the US crude oil market | Gianluca Fusai, Marina Marena, Andrea Roncoroni | http://dx.doi.org/10.5547/01956574.36.2.2 |
2023 | Journal of Systems Science and Complexity: Vol. 36, Issue 5 | Impacts of CME Changing Mechanism for Allowing Negative Oil Prices on Prices and Trading Activities in the Crude Oil Futures Market | | http://dx.doi.org/10.1016/j.resourpol.2017.06.009 |
2023 | Energy Economics: Vol. 126 | Social and environmental events disrupt the relation between motor gasoline prices and market fundamentals | T. Kristiansen | http://dx.doi.org/10.1086/715885 |
2023 | Journal of Commodity Markets: Vol. 29 | Theory of storage implications in the European natural gas market | Don Bredin, John E. Parsons | http://dx.doi.org/10.2139/ssrn.2478589 |
2023 | Energy Economics: Vol. 125 | Financial stress and commodity price volatility | Meng Han | http://dx.doi.org/10.1016/j.petrol.2004.02.008 |
2023 | Energy Economics: Vol. 125 | Climate, wind energy, and CO2 emissions from energy production in Denmark | Carolina de Castro Lopes, Frances Fischberg Blank, Davi Michel Valladão | http://dx.doi.org/10.1002/9781118618509.refs |
2023 | Agricultural Economics (Zemědělská ekonomika): Vol. 69, Issue 12 | Are futures markets functioning well for agricultural perishables? Evidence from China's apple futures market | You-How Go, Wee-Yeap Lau | http://dx.doi.org/10.1007/s12667-011-0039-4 |
2023 | Journal of Commodity Markets: Vol. 30 | Revisiting the Silver Crisis | Chih-Chen Hsu, An-Sing Chen, Shih-Kuei Lin, Ting-Fu Chen | http://dx.doi.org/10.1016/j.apenergy.2020.115288 |
2023 | Journal of Futures Markets: Vol. 43, Issue 9 | Commodity momentum and reversal: Do they exist, and if so, why? | Wenyang Wang, Zihao Wang, Fangyi Zhou, Jinghan Wang, Jinglin Wang, Cong Sui | http://dx.doi.org/10.1108/JEAS-12-2013-0043 |
2023 | Economic Analysis and Policy: Vol. 78 | Positive and negative price bubbles of Chinese agricultural commodity futures | Rizky Yudaruddin, Dadang Lesmana, Yanzil Azizil Yudaruddin, İbrahim Halil Ekşi̇, Berna Doğan Başar | http://dx.doi.org/10.2118/211817-MS |
2023 | Journal of Risk and Financial Management: Vol. 16, Issue 2 | Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics | W.-H. Liu | http://dx.doi.org/10.1002/9781119205401.ch13 |
2023 | Computational Economics: Vol. 62, Issue 4 | Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods | | http://dx.doi.org/10.1080/13657305.2013.812155 |
2023 | Applied Economic Perspectives and Policy: Vol. 45, Issue 2 | The order flow cost of index rolling in commodity futures markets | | http://dx.doi.org/10.5547/01956574.41.5.afer |
2023 | Journal of Economic Analysis | Optimal Commodity Storage: Privately and Publicly Financed Storage Compared | Nader Karimi, Hirbod Assa, Erfan Salavati, Hojatollah Adibi | http://dx.doi.org/10.1017/9781108399685.020 |
2023 | International Journal of Business & Economics (IJBE): Vol. 8, Issue 2 | TESTING VOLATILITY PERSISTENCE WITH FRACTIONAL INTEGRATIONAND COINTEGRATION IN WORLDWIDE COMMODITY MARKETS | Helene Kvilhaug Brøndbo, Axel Storebø, Trine Krogh Boomsma, Christian Skar, Stein-Erik Fleten | http://dx.doi.org/10.1007/978-3-540-79407-3_1 |
2023 | Journal of Commodity Markets: Vol. 31 | Wheat price volatility regimes over 140 years: An analysis of daily price ranges | Anna Cretì | http://dx.doi.org/10.2139/ssrn.2043158 |
2022 | Resources Policy: Vol. 77 | Inventories and the term structure of oil prices: A complex relationship | Adrian Fernandez-Perez, Alexandre Garel, Ivan Indriawan | http://dx.doi.org/10.1016/j.resourpol.2015.04.004 |
2022 | Annals of Operations Research: Vol. 313, Issue 1 | Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach | Nicholas Paulson, Xiaoliang Liu, Guenther Filler, Martin Odening | http://dx.doi.org/10.2139/ssrn.3417706 |
2022 | International Review of Financial Analysis: Vol. 80 | Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy | Marius Fuglerud, Knut Erik Vedahl, Stein-Erik Fleten | http://dx.doi.org/10.1016/j.eneco.2017.12.007 |
2022 | Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie: Vol. 70, Issue 2 | Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices | Scott H. Irwin, Dwight R. Sanders, Lei Yan | http://dx.doi.org/10.2139/ssrn.1871345 |
2022 | Renewable Energy: Vol. 199 | Is ethanol production responsible for the increase in corn prices? | | http://dx.doi.org/10.1080/01605682.2023.2260908 |
2022 | International Review of Finance: Vol. 22, Issue 4 | Financial investments and commodity prices | G.B. Sheble | http://dx.doi.org/10.1007/978-94-007-2412-9_5 |
2022 | Journal of the Association of Environmental and Resource Economists: Vol. 9, Issue 1 | Regulatory Induced Risk Aversion in Coal Contracting at US Power Plants: Implications for Environmental Policy | Hachmi Ben Ameur, Zied Ftiti, Waël Louhichi | http://dx.doi.org/10.1002/jae.1213 |
2022 | Journal of Marine Science and Engineering: Vol. 10, Issue 10 | The Impact of the Crude Oil Price on Tankers’ Port-Call Features: Mining the Information in Automatic Identification System | Guro Børnes Ringlund, Knut Einar Rosendahl, Terje Skjerpen | http://dx.doi.org/10.2139/ssrn.3996860 |
2022 | Annals of Operations Research: Vol. 313, Issue 1 | Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil | Jostein Tvedt | http://dx.doi.org/10.2139/ssrn.4792666 |
2022 | SSRN Electronic Journal | A Weekly Structural VAR Model of the US Crude Oil Market | Catherine Bobtcheff, Stéphane Villeneuve | http://dx.doi.org/10.1016/j.irfa.2012.06.003 |
2022 | Revue d'économie financière: Vol. N° 147, Issue 3 | Les effets de la guerre en Ukraine sur les marchés mondiaux de matières premières | Yannick Le Pen, Benoît Sévi | http://dx.doi.org/10.1017/9781108399685.022 |
2022 | Review of Quantitative Finance and Accounting: Vol. 58, Issue 4 | Risk premia in the term structure of crude oil futures: long-run and short-run volatility components | | http://dx.doi.org/10.1017/9781108399685.013 |
2022 | Decision Analysis: Vol. 19, Issue 2 | Multiple Volatility Real Options Approach to Investment Decisions Under Uncertainty | | http://dx.doi.org/10.2139/ssrn.2258386 |
2022 | Journal of Commodity Markets: Vol. 28 | Economic drivers of volatility and correlation in precious metal markets | Hui Bu | http://dx.doi.org/10.1016/j.ejor.2012.01.017 |
2022 | Annals of Operations Research: Vol. 313, Issue 1 | Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework | Peder A.O. Dalby, Gisle R. Gillerhaugen, Verena Hagspiel, Tord Leth-Olsen, Jacco J.J. Thijssen | http://dx.doi.org/10.1016/j.jempfin.2015.10.005 |
2021 | China Finance Review International: Vol. 11, Issue 4 | The global business cycle and speculative demand for crude oil | | http://dx.doi.org/10.1109/EEM.2017.7981928 |
2021 | American Economic Journal: Applied Economics: Vol. 13, Issue 3 | Capital Markets in China and Britain, 1770–1860: Evidence from Grain Prices | Daniele Valenti, Matteo Manera, Alessandro Sbuelz | http://dx.doi.org/10.1016/j.eneco.2008.08.002 |
2021 | Energy Economics: Vol. 100 | Risk premia in electricity derivatives markets | Nestor Le Clech, Carmen Fillat‐Castejón | http://dx.doi.org/10.1007/BF02298465 |
2021 | American Economic Review: Vol. 111, Issue 4 | The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements | Helene K. Brondbo, Axel Storebo, Stein-Erik Fleten, Trine K. Boomsma | http://dx.doi.org/10.1080/15140326.2024.2369441 |
2021 | SSRN Electronic Journal | Calibration of storage model by multistage statistical and machine learning methods | Atul Chandra, Peter R. Hartley, Gopalan Nair | http://dx.doi.org/10.1080/14697688.2020.1724319 |
2021 | The European Journal of Finance: Vol. 27, Issue 15 | A parameter based approach to single factor stochastic process selection for real options applications | Lingfei Li, Vadim Linetsky | http://dx.doi.org/10.1111/j.0277-0180.2005.00148.x |
2021 | Complexity: Vol. 2021, Issue 1 | Booms and Busts in the Oil Market: Identifying Speculative Bubbles Using a Continuous‐Time Dynamic System | Hui Bu | http://dx.doi.org/10.1016/j.econmod.2020.03.022 |
2021 | Energy Economics: Vol. 102 | The risk premia of energy futures | P. J. Dawson | http://dx.doi.org/10.1016/j.jinteco.2017.07.008 |
2021 | Applied Sciences: Vol. 11, Issue 21 | Evaluation of Investments in Wind Energy Projects, under Uncertainty. State of the Art Review | Ilan Guedj, Guohua Li, Craig McCann | http://dx.doi.org/10.1017/9781108399685.002 |
2021 | SSRN Electronic Journal | Futures market reactions to crude oil inventory news announcements: Asymmetric return response patterns | Jackson Jinhong Mi, Xiangyan Meng, Yanhui Chen, Yicheng Wang | http://dx.doi.org/10.1016/j.jcomm.2021.100242 |
2021 | Theoretical Foundations of Chemical Engineering: Vol. 55, Issue 4 | Current Theoretical and Applied Research on Energy- and Resource-Saving Highly Reliable Chemical Process Systems Engineering | Joshua G. Maples, B. Wade Brorsen | http://dx.doi.org/10.1016/j.jempfin.2010.12.003 |
2021 | Production and Operations Management: Vol. 30, Issue 12 | Observations on “Risk Transmission Across Supply Chains” | Chao Liang, Feng Ma, Ziyang Li, Yan Li | http://dx.doi.org/10.1111/jiec.12050 |
2021 | SSRN Electronic Journal | THE UNBIASED PRICING HYPOTHESIS AND THE PREDICTIVE CONTENT OF BASE METAL MARKETS | Niall Farrell, Mel T. Devine, William T. Lee, James P. Gleeson, Seán Lyons | http://dx.doi.org/10.1007/978-3-030-23816-2_48 |
2021 | SSRN Electronic Journal | Futures Markets Reaction to Crude Oil Inventory News Announcements: Asymmetric Return Response Patterns | Kyle E. Binder, James W. Mjelde | http://dx.doi.org/10.1016/bs.hesind.2021.11.017 |
2021 | Energy Economics: Vol. 100 | The price-bidding strategy for investors in a renewable auction: An option games–based study | Thor Bøckman, Stein-Erik Fleten, Erik Juliussen, Håvard J. Langhammer, Ingemar Revdal | http://dx.doi.org/10.2139/ssrn.2531807 |
2021 | Energy Economics: Vol. 101 | The inconvenience yield of carbon futures | Yuewen Xiao, David B. Colwell, Ramaprasad Bhar | http://dx.doi.org/10.1257/aer.20190964 |
2021 | Energies: Vol. 14, Issue 11 | Economic Evaluation of Wind Power Projects in a Mix of Free and Regulated Market Environments in Brazil | Michael Ye, John Zyren, Joanne Shore | http://dx.doi.org/10.1016/j.geoforum.2009.11.008 |
2021 | SSRN Electronic Journal | The Unbiased Pricing Hypothesis and the Predictive Content of Base Metal Markets | Konstantinos Skindilias, Chia Chun Lo | http://dx.doi.org/10.1109/EEM.2012.6254696 |
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2021 | Quantitative Finance: Vol. 21, Issue 12 | Revisiting the Samuelson hypothesis on energy futures | Jasper Anderluh, Svetlana Borovkova | http://dx.doi.org/10.3917/ecofi.147.0243 |
2021 | The Energy Journal: Vol. 42, Issue 4 | Renewable Energy Technologies and Electricity Forward Market Risks | Gianluca Fusai, Marina Marena, Andrea Roncoroni | http://dx.doi.org/10.1002/fut.22424 |
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2020 | Journal of Futures Markets: Vol. 40, Issue 7 | Old crop versus new crop prices: Explaining the correlation | Scott H. Irwin, Dwight R. Sanders, Aaron Smith, Scott Main | http://dx.doi.org/10.1016/j.physa.2015.02.053 |
2020 | Economic Modelling: Vol. 93 | Which types of commodity price information are more useful for predicting US stock market volatility? | Carl Chiarella, Boda Kang, Christina Nikitopoulos Sklibosios, Thuy Duong To | http://dx.doi.org/10.1016/j.eneco.2014.09.006 |
2020 | The Energy Journal: Vol. 41, Issue 5 | Natural Gas Storage Forecasts: Is the Crowd Wiser? | JANIS BACK, MARCEL PROKOPCZUK | http://dx.doi.org/10.17016/feds.2005.30 |
2020 | Studies in Nonlinear Dynamics & Econometrics: Vol. 24, Issue 5 | The role of the threshold effect for the dynamics of futures and spot prices of energy commodities | Olivier Rousse, Benoît Sévi | http://dx.doi.org/10.1007/s11149-017-9319-9 |
2020 | RAM. Revista de Administração Mackenzie: Vol. 21, Issue 2 | EXTREME EVENTS AND THE OIL MARKET: CONDITIONAL JUMP PROCESS | Atle Oglend | http://dx.doi.org/10.1111/irfi.12361 |
2020 | Physica A: Statistical Mechanics and its Applications: Vol. 556 | The (in)efficiency of NYMEX energy futures: A multifractal analysis | Louisa Chen, Thanos Verousis, Kai Wang, Zhiping Zhou | http://dx.doi.org/10.1016/j.eap.2023.03.023 |
2020 | Applied Energy: Vol. 273 | The effects of futures markets on oil spot price volatility in regional US markets | Jilong Chen, Christian Ewald, Ruolan Ouyang, Sjur Westgaard, Xiaoxia Xiao | http://dx.doi.org/10.1155/2021/8883416 |
2020 | Rio Oil and Gas Expo and Conference: Vol. 20, Issue 2020 | Henry Hub future market prices: recent evolution fundamentals and future scenarios | Don Bredin, Valerio Potì, Enrique Salvador | http://dx.doi.org/10.1111/agec.12099 |
2020 | Applied Economic Perspectives and Policy: Vol. 42, Issue 4 | Returns to Investing in Commodity Futures: Separating the Wheat from the Chaff | Djerry C. Tandja M., Gabriel J. Power, Josée Bastien | http://dx.doi.org/10.2139/ssrn.2355674 |
2020 | SSRN Electronic Journal | Risk Premia in the Term Structure of Crude Oil Futures: Long-Run and Short-Run Volatility Components | Derek Koolen, Derek Bunn, Wolfgang Ketter | http://dx.doi.org/10.1016/j.eneco.2023.106821 |
2020 | China Agricultural Economic Review: Vol. 13, Issue 1 | Price bubbles in agricultural commodity markets and contributing factors: evidence for corn and soybeans in China | Peng Liu, Zhigang Qiu, David Xiaoyu Xu | http://dx.doi.org/10.1002/9781118266403.ch25 |
2020 | Journal of Commodity Markets: Vol. 18 | Commodity market flexibility and financial derivatives | Andrew Clark | http://dx.doi.org/10.1109/MPAE.2003.1192021 |
2020 | Journal of Financial Markets: Vol. 47 | Too much of a good thing? Speculative effects on commodity futures curves | | http://dx.doi.org/10.1016/j.jcomm.2022.100288 |
2020 | Empirical Economics: Vol. 59, Issue 2 | Crude oil inventories: The two faces of Janus? | Roy Endré Dahl, Erlendur Jonsson | http://dx.doi.org/10.2139/ssrn.813227 |
2020 | Resource and Energy Economics: Vol. 60 | Jumps in the convenience yield of crude oil | Sophie van Huellen | http://dx.doi.org/10.48072/2525-7579.rog.2020.332 |
2020 | Journal of Economics and Finance: Vol. 44, Issue 4 | Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets | Michal Rubaszek, Zuzanna Karolak, Marek Kwas, Gazi Salah Uddin | http://dx.doi.org/10.1016/j.ejor.2018.05.043 |
2020 | Enterprise & Society: Vol. 21, Issue 1 | Energizing Finance: The Energy Crisis, Oil Futures, and Neoliberal Narratives | Mel T. Devine, Niall Farrell, William T. Lee | http://dx.doi.org/10.1145/1993574.1993622 |
2020 | African Journal of Food, Agriculture, Nutrition and Development: Vol. 20, Issue 03 | Relationship between spot and futures prices: The case of global food commodities | Richard G. Newell, Brian Prest | http://dx.doi.org/10.2139/ssrn.930486 |
2020 | Energy Economics: Vol. 88 | Economic determinants of oil futures volatility: A term structure perspective | Roberta Pellegrino | http://dx.doi.org/10.1155/2014/963964 |
2020 | Nature Energy: Vol. 5, Issue 2 | Oil price regimes and their role in price diversions from market fundamentals | Soohyeon Kim, Jungho Baek, Eunnyeong Heo | http://dx.doi.org/10.1002/fut.22546 |
2020 | Energy Systems: Vol. 11, Issue 3 | A real options approach to generation capacity expansion in imperfectly competitive power markets | Sung Je Byun | http://dx.doi.org/10.1007/978-3-319-74319-6_482 |
2020 | SSRN Electronic Journal | Jumps in the Convenience Yield of Crude Oil | Charles F. Mason, Neil A. Wilmot | http://dx.doi.org/10.1109/ICEIT.2010.5607811 |
2020 | Energy Economics: Vol. 91 | Interpreting the oil risk premium: Do oil price shocks matter? | Qianqian Mao, Yanjun Ren, Jens-Peter Loy | http://dx.doi.org/10.2139/ssrn.1031678 |
2020 | Journal of Economic Surveys: Vol. 34, Issue 1 | APPROACHES TO PRICE FORMATION IN FINANCIALIZED COMMODITY MARKETS | Marco Haase, Heinz Zimmermann, Matthias Huss | http://dx.doi.org/10.1111/jmcb.12525 |
2019 | Journal of Purchasing and Supply Management: Vol. 25, Issue 2 | Supply Chain Finance: A supply chain-oriented perspective to mitigate commodity risk and pricing volatility | Fengbin Lu, Hui Bu | http://dx.doi.org/10.1002/fut.22547 |
2019 | Journal of Commodity Markets: Vol. 13 | Jumps in commodity markets | Carola Conces Binder | http://dx.doi.org/10.1007/978-3-319-13572-4_24 |
2019 | SSRN Electronic Journal | Dynamic Regulatory Distortions: Coal Storage at U.S. Power Plants | Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, Sebastien McMahon | http://dx.doi.org/10.1016/j.eneco.2016.09.013 |
2019 | Energy Economics: Vol. 84 | The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models | Khalid ElFayoumi | http://dx.doi.org/10.1002/9781119011590.ch18 |
2019 | American Journal of Agricultural Economics: Vol. 101, Issue 3 | Event Study of the Crude Oil Futures Market: A Mixed Event Response Model | Christopher Kampa | http://dx.doi.org/10.17221/278/2023-AGRICECON |
2019 | ECONOMIA AGRO-ALIMENTARE, Issue 2 | Contractual arrangements in the Italian durum wheat supply chain: The impacts of the "Fondo grano duro" | Fardous Alom | http://dx.doi.org/10.1016/j.energy.2018.07.137 |
2019 | Energy Economics: Vol. 81 | Price volatility in commodity markets with restricted participation | Dragan Miljkovic, Puneet Vatsa, Frayne Olson | http://dx.doi.org/10.1002/fut.21854 |
2019 | The Energy Journal: Vol. 40, Issue 2 | Informed Trading in the WTI Oil Futures Market | Tim Wawer | http://dx.doi.org/10.1007/978-3-030-43502-8_7 |
2019 | Journal of International Money and Finance: Vol. 95 | Price discovery in commodity futures and cash markets with heterogeneous agents | Udayan Sharma, Madhusudan Karmakar | http://dx.doi.org/10.1017/9781108399685.027 |
2019 | Applied Energy: Vol. 241 | The unnoticed impact of long-term cost information on wind farms’ economic value in the USA. – A real option analysis | Andrea Bastianin, Matteo Manera, Anil Markandya, Elisa Scarpa | http://dx.doi.org/10.1111/mafi.12003 |
2019 | SSRN Electronic Journal | Oil Futures Volatility and the Economy | Viviana Fernandez | http://dx.doi.org/10.1007/978-3-658-38418-0_8 |
2018 | Global Finance Journal: Vol. 35 | Regression analysis of historic oil prices: A basis for future mean reversion price scenarios | Petter Osmundsen, Knut Einar Rosendahl, Terje Skjerpen | http://dx.doi.org/10.2139/ssrn.1392177 |
2018 | Journal of Research in Economic Modeling: Vol. 8, Issue 32 | Time-Varying Transmission Mechanism of Oil Shocks in the Global Crude oil Market: A TVP-VAR Approach | Oleg Kucher, Alexander Kurov | http://dx.doi.org/10.1002/9781118827352.refs |
2018 | Physica A: Statistical Mechanics and its Applications: Vol. 492 | Statistical field theory of futures commodity prices | Federico Carlini, Bent Jesper Christensen, Nabanita Datta Gupta, Paolo Santucci de Magistris | http://dx.doi.org/10.5547/01956574.40.2.orou |
2018 | Journal of Commodity Markets: Vol. 10 | Financialization and the returns to commodity investments | | http://dx.doi.org/10.2139/ssrn.1138782 |
2018 | Global Finance Journal: Vol. 35 | Performance ranking (dis)similarities in commodity markets | | http://dx.doi.org/10.58567/jea02010004 |
2018 | Energy: Vol. 161 | Green investment under policy uncertainty and Bayesian learning | Robert K. Kaufmann, Colter Schroer | http://dx.doi.org/10.1109/HIS.2014.7086187 |
2018 | Journal of Money, Credit and Banking: Vol. 50, Issue 5 | Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market | Claudio Dicembrino, Pasquale L. Lucio Scandizzo | http://dx.doi.org/10.1109/EEM.2013.6607377 |
2018 | International Journal of Financial Studies: Vol. 6, Issue 4 | The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review | | http://dx.doi.org/10.2139/ssrn.1447847 |
2018 | Journal of Commodity Markets: Vol. 12 | Volatility spillover in seafood markets | | http://dx.doi.org/10.2139/ssrn.2260934 |
2018 | Journal of Banking & Finance: Vol. 95 | The balance sheet effects of oil market shocks: An industry level analysis | Lubna A. Gabralla, Ajith Abraham | http://dx.doi.org/10.1108/14777831111159699 |
2018 | SSRN Electronic Journal | Interpreting the Oil Risk Premium: Do Oil Price Shocks Matter? | Bernardina Algieri | http://dx.doi.org/10.5547/01956574.38.2.nfar |
2018 | The Energy Journal: Vol. 39, Issue 5 | Real Option Valuation in a Gollier/Weitzman World: The Effect of Long-Run Discount Rate Uncertainty | Lubna A. Gabralla, Talaat M. Wahby, Varun Kumar Ojha, Ajith Abraham | http://dx.doi.org/10.1002/fut.22106 |
2018 | Review of Finance: Vol. 22, Issue 1 | Futures Trading and the Excess Co-movement of Commodity Prices* | Theu Dinh, Stéphane Goutte, Duc Khuong Nguyen, Thomas Walther | http://dx.doi.org/10.1016/j.cor.2015.03.007 |
2018 | Journal of Banking & Finance: Vol. 95 | Equilibrium commodity prices with irreversible investment and non-linear technologies | Nader Karimi, Hirbod Assa, Erfan Salavati, Hojatollah Adibi | http://dx.doi.org/10.1016/j.resourpol.2022.102657 |
2018 | Advances in Difference Equations: Vol. 2018, Issue 1 | Calibration of the exponential Ornstein–Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices | Matthias Hundt, Ninghong Sun | http://dx.doi.org/10.1093/cep/byh018 |
2018 | European Journal of Operational Research: Vol. 271, Issue 2 | Switching from oil to gas production in a depleting field | George M. Korniotis | http://dx.doi.org/10.1057/eej.2014.64 |
2018 | Energy Economics: Vol. 69 | Identifying price bubble periods in the energy sector | Yen-Hsien Lee, Hsu-Ning Hu, Jer-Shiou Chiou | http://dx.doi.org/10.1016/j.apenergy.2018.11.065 |
2018 | Papers in Regional Science: Vol. 97, Issue 3 | Spatial spillovers in US wholesale gasoline markets | Qing Wang, Yiming Hu | http://dx.doi.org/10.1016/j.eneco.2014.06.004 |
2018 | Journal of Political Economy: Vol. 126, Issue 3 | Hotelling under Pressure | Wonkyung Hong, ParkHojeong | http://dx.doi.org/10.1016/j.physa.2020.124783 |
2017 | The Energy Journal: Vol. 38, Issue 2 | Specifying An Efficient Renewable Energy Feed-in Tariff | Akshaya Jha | http://dx.doi.org/10.1111/1477-9552.12092 |
2017 | Journal of Futures Markets: Vol. 37, Issue 12 | Do futures prices help forecast the spot price? | Naser Khiabani, Mohammad Amin Naderian | http://dx.doi.org/10.1111/poms.13524 |
2017 | Journal of Regulatory Economics: Vol. 51, Issue 2 | Fuel inventory and price relationships in the U.S. electric power sector under regulatory and market change | Roberta Pellegrino, Barbara Gaudenzi, George A. Zsidisin | http://dx.doi.org/10.1093/rof/rfx039 |
2017 | Resources Policy: Vol. 53 | Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil | Ron Alquist, Lutz Kilian | http://dx.doi.org/10.4236/nr.2015.61007 |
2017 | SSRN Electronic Journal | Jumps in Commodity Markets | Derek M. Lemoine | http://dx.doi.org/10.1111/agec.12291 |
2017 | Agribusiness: Vol. 33, Issue 4 | International aggregate agricultural supply for grain and oilseed: The effects of efficiency and technological change | Gilbert Lenssen, André Nijhof, Ludwig Roger, Henk Kievit, Christina Kleinau, Nick Lin-Hi | http://dx.doi.org/10.1017/9781108399685.004 |
2017 | Sustainable Energy, Grids and Networks: Vol. 9 | Optimising feed-in tariff design through efficient risk allocation | Klaus Mohn, Bård Misund | http://dx.doi.org/10.2139/ssrn.657941 |
2017 | Agricultural Economics: Vol. 48, Issue 1 | Monetary policy shocks and the dynamics of agricultural commodity prices: evidence from structural and factor‐augmented VAR analyses | Paul D. Kaplan | http://dx.doi.org/10.58885/ijbe.v08i2.032.mk |
2017 | Journal of Research in Economic Modeling: Vol. 8, Issue 29 | Forecasting Risk Premium in Crude Oil futures Market with BVAR | Anton Dobronogov, Ahmad R. Jalali-Naini | http://dx.doi.org/10.1016/j.egypro.2015.11.531 |
2017 | Journal of International Economics: Vol. 108 | Emerging economies business cycles: The role of commodity terms of trade news | Louis H. Ederington, Chitru S. Fernando, Thomas K. Lee, Scott C. Linn, Anthony D. May | http://dx.doi.org/10.1108/CG-07-2014-0083 |
2017 | Theoretical Foundations of Chemical Engineering: Vol. 51, Issue 6 | Mathematical Methods for the Multi-Criteria Optimization of Structure and Management of Energy Efficient Gas Supply Chains | Andrea Bastianin, Matteo Manera, Daniele Valenti | http://dx.doi.org/10.2139/ssrn.3330740 |
2017 | Review of Quantitative Finance and Accounting: Vol. 48, Issue 3 | The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices | Emrah Kocak, Faik Bilgili, Umit Bulut, Sevda Kuskaya | http://dx.doi.org/10.1007/s10479-021-04198-7 |
2017 | SSRN Electronic Journal | Informing SPR Policy Through Oil Futures and Inventory Dynamics | Miroslava Zavadska, Lucía Morales, Joseph Coughlan | http://dx.doi.org/10.1007/978-0-8176-4545-8_12 |
2017 | The Energy Journal: Vol. 38, Issue 5 | Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil | Md Rafayet Alam, Scott Gilbert | http://dx.doi.org/10.1002/fut.21670 |
2016 | Journal of Futures Markets: Vol. 36, Issue 2 | The Return–Volatility Relation in Commodity Futures Markets | Tommie Murphy, Stephen Kelly, Khurshid Ahmad | http://dx.doi.org/10.2118/160000-MS |
2016 | Energy Economics: Vol. 60 | Commodity dynamics: A sparse multi-class approach | Bernardina Algieri | http://dx.doi.org/10.1017/9781108399685.009 |
2016 | Energy Economics: Vol. 53 | Optimal design of feed-in-tariffs to stimulate renewable energy investments under regulatory uncertainty — A real options analysis | Carlos Armando Mejía Vega | http://dx.doi.org/10.1016/j.eneco.2023.106874 |
2016 | Computers & Operations Research: Vol. 66 | Valuation of commodity derivatives with an unobservable convenience yield | Trine Krogh Boomsma, Nigel Meade, Stein-Erik Fleten | http://dx.doi.org/10.1111/joes.12342 |
2016 | Quantitative Finance: Vol. 16, Issue 12 | Is news related to GDP growth a risk factor for commodity futures returns? | Daniel Tsvetanov, Jerry Coakley, Neil Kellard | http://dx.doi.org/10.1080/14697688.2016.1211797 |
2016 | Journal of Futures Markets: Vol. 36, Issue 4 | Spot and Futures Markets Linkages: Does Contango Differ from Backwardation? | Anna Zalik | http://dx.doi.org/10.2139/ssrn.901951 |
2016 | The Energy Journal: Vol. 37, Issue 3 | Why is Spot Carbon so Cheap and Future Carbon so Dear? The Term Structure of Carbon Prices | | http://dx.doi.org/10.1007/978-3-319-08156-4_34 |
2016 | Review of Financial Studies: Vol. 29, Issue 8 | Commodities as Collateral | | http://dx.doi.org/10.1002/9781118266403.ch5 |
2016 | SSRN Electronic Journal | Informed Trading in Oil-Futures Market | You‐How Go, Wee‐Yeap Lau | http://dx.doi.org/10.2139/ssrn.940496 |
2016 | Eastern Economic Journal: Vol. 42, Issue 3 | Impact of Futures Trading on Spot Markets: An Empirical Analysis of Rubber in India | Olivier Rousse, Benoot SSvi | http://dx.doi.org/10.1002/fut.21736 |
2016 | SSRN Electronic Journal | Determinants of the Crude Oil Futures Curve: Inventory, Consumption and Volatility | Christina Sklibosios Nikitopoulos, Matthew Squires, Susan Thorp | http://dx.doi.org/10.2139/ssrn.2838559 |
2016 | Physica A: Statistical Mechanics and its Applications: Vol. 452 | Complexity of carbon market from multi-scale entropy analysis | Lubna A. Gabrall, Ajith Abraham | http://dx.doi.org/10.1002/fut.21780 |
2016 | Journal of Empirical Finance: Vol. 36 | Exchange rates and commodity prices: Measuring causality at multiple horizons | Giulio Cifarelli, Giovanna Paladino | http://dx.doi.org/10.1108/AFR-02-2014-0002 |
2016 | Review of Quantitative Finance and Accounting: Vol. 47, Issue 3 | Further evidence on the explanatory power of spot food and energy commodities market prices for futures prices | EFTHYMIOS G. PAVLIDIS, IVAN PAYA, DAVID A. PEEL | http://dx.doi.org/10.2139/ssrn.1948608 |
2016 | Energy Economics: Vol. 53 | Convenience yield in commodity price modeling: A regime switching approach | Viviana Fernandez | http://dx.doi.org/10.1002/fut.20525 |
2016 | Journal of Futures Markets: Vol. 36, Issue 6 | Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period | M. A. H. Dempster, Elena Medova, Ke Tang | http://dx.doi.org/10.1007/978-3-540-77664-2_27 |
2016 | American Economic Journal: Macroeconomics: Vol. 8, Issue 2 | The Simple Economics of Commodity Price Speculation | Prabhati Kumari Misra, Kishor Goswami | http://dx.doi.org/10.2139/ssrn.2770546 |
2016 | Energy Policy: Vol. 92 | Innovation subsidies versus consumer subsidies: A real options analysis of solar energy | Don Bredin, Eamonn O Ciagain, Cal B. Muckley | http://dx.doi.org/10.3390/jmse10101559 |
2016 | International Review of Financial Analysis: Vol. 45 | Futures markets and fundamentals of base metals | Christiane Baumeister | http://dx.doi.org/10.5547/01956574.45.2.lvie |
2016 | Journal of Environmental Economics and Management: Vol. 80 | Procrastinating reform: The impact of the market stability reserve on the EU ETS | Elisabete Neves, Vítor Oliveira, Joana Leite, Carla Henriques | http://dx.doi.org/10.1017/9781108399685.019 |
2016 | Quantitative Finance: Vol. 16, Issue 10 | A pairs trading strategy based on linear state space models and the Kalman filter | Hiroyuki Okawa | http://dx.doi.org/10.1007/978-3-642-55382-0_7 |
2016 | SSRN Electronic Journal | Inflation Expectations and the Price at the Pump | Heru Setyabudi, Iman Herwidiana Kartowisastro, Agung Trisetyarso, Edi Abdurachman | http://dx.doi.org/10.3390/en14113325 |
2016 | SSRN Electronic Journal | Informed Trading in Oil-Futures Market | Don Bredin, John E. Parsons | http://dx.doi.org/10.1016/j.jcomm.2018.10.002 |
2016 | SSRN Electronic Journal | Commodity Dynamics: A Sparse Multi-Class Approach | Don Bredin, Éamonn Ó Ciagáin, Cal B. Muckley | http://dx.doi.org/10.1111/j.1753-0237.2011.00201.x |
2015 | Journal of Economic and Administrative Sciences: Vol. 31, Issue 1 | Volatility and efficiency of the world crude oil market | Boda Kang, Christina Sklibosios Nikitopoulos, Marcel Prokopczuk | http://dx.doi.org/10.1287/mnsc.1050.0361 |
2015 | Journal of Agricultural Economics: Vol. 66, Issue 1 | Measuring the Volatility of Wheat Futures Prices on the LIFFE | Luca Barbaglia, Ines Wilms, Christophe Croux | http://dx.doi.org/10.1017/9781108399685.028 |
2015 | Journal of Financial Engineering: Vol. 02, Issue 01 | Comparison of commodity future pricing approaches with cointegration techniques | Hélyette Geman, Vu-Nhat Nguyen | http://dx.doi.org/10.17016/feds.2009.29 |
2015 | SSRN Electronic Journal | The Return-Volatility Relation in Commodity Futures Markets | Ingmar Ritzenhofen, Stefan Spinler | http://dx.doi.org/10.1017/9781108399685.015 |
2015 | Journal of Futures Markets: Vol. 35, Issue 7 | A Convenience Yield Approximation Model for Mean‐Reverting Commodities | Mariam Kamal, Luis Alberiko Gil-Alana | http://dx.doi.org/10.1017/9781108399685.017 |
2015 | Energy Procedia: Vol. 79 | An Investigation into the Crude Oil Price Pass-Through to the Macroeconomic Activities of Malaysia | Sophie van Huellen | http://dx.doi.org/10.1007/s11156-015-0513-5 |
2015 | Proceedings of the National Academy of Sciences: Vol. 112, Issue 45 | Accurate market price formation model with both supply-demand and trend-following for global food prices providing policy recommendations | Mark W. French | http://dx.doi.org/10.1016/j.ejor.2007.05.044 |
2015 | Agricultural Finance Review: Vol. 75, Issue 4 | Predictability of sugar futures: evidence from the Indian commodity market | Jean‐Thomas Bernard, Jean‐Marie Dufour, Lynda Khalaf, Maral Kichian | http://dx.doi.org/10.1007/978-3-642-30601-3_8 |
2015 | Credit and Capital Markets – Kredit und Kapital: Vol. 48, Issue 2 | Three Narratives on the Changing Face of Global Commodities Market Structure | | http://dx.doi.org/10.1017/9781108399685.001 |
2015 | International Journal of Hospitality Management: Vol. 45 | Determinants of commodity price risk exposure in the restaurant industry: An analysis by commodity price cycles | Walid Mensi, Mariem Brahim, Shawkat Hammoudeh, Aviral Kumar Tiwari, Sang Hoon Kang | http://dx.doi.org/10.1109/EEM.2009.5311423 |
2015 | The Energy Journal: Vol. 36, Issue 2 | The Convenience Yield and the Informational Content of the Oil Futures Price | Joan C. Junkus | http://dx.doi.org/10.1016/j.rfe.2014.09.001 |
2015 | Energy Economics: Vol. 49 | Understanding rig rate formation in the Gulf of Mexico | | http://dx.doi.org/10.2139/ssrn.3519642 |
2015 | Journal of Futures Markets: Vol. 35, Issue 8 | Risk Premium in Electricity Prices: Evidence from the PJM Market | | http://dx.doi.org/10.1017/9781108399685.018 |
2015 | Natural Resources: Vol. 06, Issue 01 | Measuring Criticality of Raw Materials: An Empirical Approach Assessing the Supply Risk Dimension of Commodity Criticality | Lei Zhang, Yan Chen, Elie Bouri | http://dx.doi.org/10.17330/joep.14.3.201509.41 |
2015 | Physica A: Statistical Mechanics and its Applications: Vol. 428 | Cross-correlation between interest rates and commodity prices | Ke Tang, Haoxiang Zhu | http://dx.doi.org/10.1080/14697680903493599 |
2015 | Journal of Mathematical Finance: Vol. 05, Issue 03 | Approximation for Convenience Yield with Mean-Reverting Commodity Price | | http://dx.doi.org/10.1134/S0040579517060033 |
2015 | SSRN Electronic Journal | Innovations in the Crude Oil Market: Sentiment, Exploration and Production Methods | | http://dx.doi.org/10.1017/9781108399685.025 |
2015 | Journal of Environmental Policy: Vol. 14, Issue 3 | Diversification of Spot Price of the Korean Allowance Unit based on the Term Structure | F. T. Sparrow, P. V. Preckel, D. J. Gotham, B. H. Bowen, Z. Yu | http://dx.doi.org/10.2139/ssrn.1946197 |
2015 | Resources Policy: Vol. 45 | Dynamic relationships between spot and futures prices. The case of energy and gold commodities | Wei Yao, Constantinos Alexiou | http://dx.doi.org/10.2139/ssrn.2617525 |
2015 | SSRN Electronic Journal | What Ails the European Union's Emissions Trading System? Two Diagnoses Calling for Different Treatments | Mihaela Nicolau, Giulio Palomba | http://dx.doi.org/10.2139/ssrn.2894390 |
2014 | Journal of Futures Markets: Vol. 34, Issue 10 | Noisy Inventory Announcements and Energy Prices | Belal E. Baaquie, Miao Yu | http://dx.doi.org/10.1142/S2345768615500026 |
2014 | SSRN Electronic Journal | Why is Spot Carbon so Cheap and Future Carbon so Dear? The Term Structure of Carbon Prices | Nese Erbil, Shaun Roache | http://dx.doi.org/10.1017/9781108399685.016 |
2014 | Journal of Computational Environmental Sciences: Vol. 2014 | Convenience Yield Value of International Emission Allowance Based on Call Options | J. Arnold Quinn, James D. Reitzes, Adam C. Schumacher | http://dx.doi.org/10.1186/s13662-018-1718-4 |
2014 | Energy Economics: Vol. 46 | Crude oil: Commodity or financial asset? | Bwo-Nung Huang, C.W. Yang, M.J. Hwang | http://dx.doi.org/10.1016/j.eneco.2007.06.002 |
2014 | Corporate Governance: Vol. 14, Issue 5 | Does agricultural commodity speculation contribute to sustainable development? | Jeremiah X. Johnson, Colin A. McMillan, Gregory A. Keoleian | http://dx.doi.org/10.1002/fut.21615 |
2014 | Journal of Futures Markets: Vol. 34, Issue 7 | The Predictive Content of Commodity Futures | Jing Ao, Jihui Chen | http://dx.doi.org/10.1111/joes.12478 |
2014 | Energy Economics: Vol. 46 | Macro determinants of volatility and volatility spillover in energy markets | Leif Andersen | http://dx.doi.org/10.1016/j.eneco.2006.10.002 |
2014 | Mathematical Finance: Vol. 24, Issue 2 | TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS | Fawzan Abdul Aziz Al Fawzan | http://dx.doi.org/10.1002/agr.21514 |
2014 | SSRN Electronic Journal | How to Value a Gas Storage Facility | Carl Chiarella, Boda Kang, Christina Sklibosios Nikitopoulos, Thuy‐Duong Tô | http://dx.doi.org/10.1016/j.eneco.2019.104540 |
2014 | Review of Financial Economics: Vol. 23, Issue 4 | Business cycle, storage, and energy prices | Marco Lagi, Yavni Bar-Yam, Karla Z. Bertrand, Yaneer Bar-Yam | http://dx.doi.org/10.1016/j.eneco.2021.105331 |
2014 | SSRN Electronic Journal | Why Is Spot Carbon so Cheap and Future Carbon So Dear? The Term Structure of Carbon Prices | David Dubofsky | http://dx.doi.org/10.1080/1351847X.2021.1895859 |
2014 | Agricultural Economics: Vol. 45, Issue 4 | A roller coaster ride: an empirical investigation of the main drivers of the international wheat price | Liang-Chuan Wu, Liang-Hong Wu | http://dx.doi.org/10.1257/app.20180299 |
2014 | Energy Economics: Vol. 46 | Effect of inventory announcements on crude oil price volatility | Liang-Chuan Wu, Shu-Hsing Li, Chorng-Shyong Ong, Chungteh Pan | http://dx.doi.org/10.1017/9781108399685 |
2013 | Agricultural Finance Review: Vol. 73, Issue 1 | Testing for speculative bubbles in agricultural commodity prices: a regime switching approach | Shanying Xu, Xi Chen, Ai Han | http://dx.doi.org/10.1016/j.eneco.2021.105460 |
2013 | SSRN Electronic Journal | Capacity Payment Impact on Gas-Fired Generation Investments under Rising Renewable Feed-In -- A Real Options Analysis | Marco Lagi, Yavni Bar-Yam, Karla Z. Bertrand, Yaneer Bar-Yam | http://dx.doi.org/10.3390/jrfm16020067 |
2013 | SSRN Electronic Journal | Green Expectations: Current Effects of Anticipated Carbon Pricing | Diego Valiante | http://dx.doi.org/10.1016/j.resourpol.2021.102258 |
2013 | International Review of Financial Analysis: Vol. 27 | Investment decision in integrated steel plants under uncertainty | Charles F. Mason, Neil A. Wilmot | http://dx.doi.org/10.3390/app112110213 |
2013 | Review of Financial Studies: Vol. 26, Issue 5 | Economic Linkages, Relative Scarcity, and Commodity Futures Returns | nafiseh behradmehr, mohsen mehrara, mohammad mazraati, hadi dadafarid | http://dx.doi.org/10.3280/ECAG2019-002004 |
2013 | SSRN Electronic Journal | Commodities as Collateral | Francisco Arroyo Marioli | http://dx.doi.org/10.1111/pirs.12270 |
2013 | Resources Policy: Vol. 38, Issue 3 | Is the convenience yield a good indicator of a commodity's supply risk? | Esteban Martina, Eduardo Rodriguez, Rafael Escarela-Perez, Jose Alvarez-Ramirez | http://dx.doi.org/10.2139/ssrn.3143466 |
2013 | Aquaculture Economics & Management: Vol. 17, Issue 3 | RECENT TRENDS IN SALMON PRICE VOLATILITY | Berna Karali, Shiyu Ye, Octavio A. Ramirez | http://dx.doi.org/10.1016/j.irfa.2022.102027 |
2013 | SSRN Electronic Journal | Optimal Design of Feed-in-Tariffs to Stimulate Renewable Energy Investments Under Regulatory Uncertainty - A Real Options Analysis | Marcus Stronzik, Margarethe Rammerstorfer, Anne Neumann | http://dx.doi.org/10.1016/j.techfore.2012.03.008 |
2013 | Journal of Industrial Ecology: Vol. 17, Issue 5 | Evaluation of Life Cycle Assessment Recycling Allocation Methods | Marketa W. Halova, Alexander Kurov, Oleg Kucher | http://dx.doi.org/10.1007/s12197-019-09497-1 |
2013 | International Journal of Theoretical and Applied Finance: Vol. 16, Issue 06 | COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW | Hanxiong Zhang, Benjamin R. Auer, Dimitrios I. Vortelinos | http://dx.doi.org/10.1002/9781119011590.ch19 |
2013 | The Quarterly Review of Economics and Finance: Vol. 53, Issue 1 | Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage | Shan Chen, Margaret C. Insley, Tony S. Wirjanto | http://dx.doi.org/10.1080/14697688.2016.1164886 |
2013 | SSRN Electronic Journal | Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons | Hélyette Geman | http://dx.doi.org/10.1108/00021461311321384 |
2013 | Regional Science and Urban Economics: Vol. 43, Issue 6 | Commodity house prices | Lubna A. Gabralla, Hela Mahersia, Ajith Abraham | http://dx.doi.org/10.29252/jemr.8.29.7 |
2012 | SSRN Electronic Journal | Energy Derivatives' Market Dynamics | Leonardo H.S. Fernandes, Fernando H.A. de Araújo, Igor E.M. Silva | http://dx.doi.org/10.1515/snde-2019-0068 |
2012 | Technological Forecasting and Social Change: Vol. 79, Issue 7 | Options in technology investment games: The real world TFT-LCD industry case | MAX C. RESENDE, EVANDRO C. PEDRO | http://dx.doi.org/10.1016/j.eneco.2009.11.009 |
2012 | SSRN Electronic Journal | Integrating Commodity Markets in the Optimal Procurement Policies of a Stochastic Inventory System | Stefan Trück, Rafał Weron | http://dx.doi.org/10.1017/9781108399685.021 |
2012 | SSRN Electronic Journal | Oil Price Forecast Evaluation with Flexible Loss Functions | | http://dx.doi.org/10.1002/9781119209102.biblio |
2012 | SSRN Electronic Journal | Futures Trading and the Excess Comovement of Commodity Prices | Hui Jun Zhang, Jean-Marie Dufour, John W. Galbraith | http://dx.doi.org/10.1017/9781108399685.014 |
2012 | SSRN Electronic Journal | Commodity Price Dynamics and Derivatives Valuation: A Review | Luiz de Magalhães Ozorio, Carlos de Lamare Bastian-Pinto, Tara Keshar Nanda Baidya, Luiz Eduardo Teixeira Brandão | http://dx.doi.org/10.1017/9781108399685.008 |
2012 | SSRN Electronic Journal | An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time? | Fengbin Lu, Hui Bu | http://dx.doi.org/10.2139/ssrn.2133158 |
2012 | SSRN Electronic Journal | The Fundamental and Speculative Components of the Oil Spot Price: A Real Option Value Approach | Andreas Fritz, Christoph Weber | http://dx.doi.org/10.1016/j.eneco.2023.106914 |
2012 | SSRN Electronic Journal | The Economics of Renewable Energy | Soren T. Anderson, Ryan Kellogg, Stephen W. Salant | http://dx.doi.org/10.2139/ssrn.2040828 |
2012 | SSRN Electronic Journal | The Relationship between Spot and Futures CO2 Emission Allowance Prices in the EU-ETS | Akanksha Gupta, Poornima Varma | http://dx.doi.org/10.1016/j.eneco.2014.06.016 |
2012 | Journal of Futures Markets: Vol. 32, Issue 6 | Does the price of crude oil respond to macroeconomic news? | Patrizio Pagano, Massimiliano Pisani | http://dx.doi.org/10.2139/ssrn.651323 |
2012 | SSRN Electronic Journal | Informational Efficiency in Futures Markets for Crude Oil | Abdullah Almansour | http://dx.doi.org/10.1017/9781108399685.005 |
2012 | European Journal of Operational Research: Vol. 220, Issue 1 | Renewable energy investments under different support schemes: A real options approach | Ryan Kellogg, Mar Reguant | http://dx.doi.org/10.1016/j.jcomm.2023.100346 |
2012 | Journal of Applied Econometrics: Vol. 27, Issue 4 | An identification‐robust test for time‐varying parameters in the dynamics of energy prices | Hui Jun Zhang, Jean-Marie Dufour, John W. Galbraith | http://dx.doi.org/10.1257/mac.20140033 |
2012 | Journal of Futures Markets: Vol. 32, Issue 5 | The convenience yield implied in European natural gas hub trading | Tanmoy Chakraborty, Michael Kearns | http://dx.doi.org/10.1007/s10479-021-04211-z |
2012 | SSRN Electronic Journal | The Impact of Stochastic Convenience Yield on Long-Term Forestry Investment Decisions | P. L. Scandizzo, C. Dicembrino | http://dx.doi.org/10.2139/ssrn.1100605 |
2011 | SSRN Electronic Journal | What Explains Risk Premia in Crude Oil Futures? | | http://dx.doi.org/10.1016/j.jcomm.2019.100094 |
2011 | OPEC Energy Review: Vol. 35, Issue 4 | What explains risk premiums in crude oil futures?* | Oleg Kucher, J. Wesley Burnett, Donald Lacombe | http://dx.doi.org/10.1057/9781137062659_4 |
2011 | SSRN Electronic Journal | Evaluating the Forecasting Performance of Commodity Futures Prices | | http://dx.doi.org/10.2139/ssrn.1701703 |
2011 | SSRN Electronic Journal | An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices | | http://dx.doi.org/10.1109/IEEM.2016.7797850 |
2011 | SSRN Electronic Journal | Mean-Variance Optimization of Power Generation Portfolios Under Uncertainty in the Merit Order | Marko Melolinna | http://dx.doi.org/10.1017/9781108399685.023 |
2011 | Energy Economics: Vol. 33, Issue 5 | Multiscale entropy analysis of crude oil price dynamics | | http://dx.doi.org/10.1038/s41560-020-0549-1 |
2011 | SSRN Electronic Journal | Oil Price Dynamics in a Real Business Cycle Model | Chun-Hung (Hugo) Tang | http://dx.doi.org/10.1016/j.eneco.2009.08.006 |
2011 | SSRN Electronic Journal | Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage | Moya M. Enright | http://dx.doi.org/10.5547/01956574.39.5.dtan |
2011 | Energy Systems: Vol. 2, Issue 3-4 | Regional energy markets and the cost of natural flow dam operation | Herbert Mayer, Benedikt Gleich | http://dx.doi.org/10.1016/j.ejor.2010.02.030 |
2011 | Journal of Empirical Finance: Vol. 18, Issue 2 | The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield | Jennifer Considine, Philipp Galkin, Abdullah Aldayel | http://dx.doi.org/10.1108/CAER-10-2019-0190 |
2011 | SSRN Electronic Journal | Financial-Demand Based Commodity Pricing: A Theoretical Model for Financialization of Commodities | Adrian Fernandez-Perez, Ana-Maria Fuertes, Joelle Miffre | http://dx.doi.org/10.1108/JEAS-04-2024-0104 |
2011 | The Journal of Index Investing: Vol. 2, Issue 1 | Futures-Based Commodity ETFs | Monica Bonacina, Simone Cozialpi | http://dx.doi.org/10.2139/ssrn.3977254 |
2011 | Management of Environmental Quality: An International Journal: Vol. 22, Issue 5 | Risk premia in CO2 allowances: spot and futures prices in the EEX market | Janis Back, Marcel Prokopczuk | http://dx.doi.org/10.1016/j.rtbm.2024.101182 |
2011 | SSRN Electronic Journal | The Food Crises: A Quantitative Model of Food Prices Including Speculators and Ethanol Conversion | Scott Main, Scott H. Irwin, Dwight R. Sanders, Aaron Smith | http://dx.doi.org/10.2139/ssrn.2369438 |
2011 | SSRN Electronic Journal | The Role of Financial Markets in Determining Physical Oil Prices: A Survey of the Literature | Anna Creti, Bertrand Villeneuve, Corinne Chaton | http://dx.doi.org/10.1016/j.enpol.2015.07.010 |
2010 | The Energy Journal: Vol. 31, Issue 2 | Valuing Plug-In Hybrid Electric Vehicles’ Battery Capacity Using a Real Options Framework | Carlos de Lamare Bastian-Pinto, Luiz Eduardo Teixeira Brandão, Luiz de Magalhães Ozorio, Arthur Felipe Tavares do Poço | http://dx.doi.org/10.3905/jii.2010.1.1.061 |
2010 | European Journal of Operational Research: Vol. 206, Issue 2 | Developing a market-based approach to managing the US strategic petroleum reserve | Naomi E. Boyd, Bingxin Li, Rui Liu | http://dx.doi.org/10.1016/j.physa.2017.09.036 |
2010 | Geoforum: Vol. 41, Issue 4 | Oil ‘futures’: Shell’s Scenarios and the social constitution of the global oil market | Charles Ka Yui Leung, Song Shi, Edward Chi Ho Tang | http://dx.doi.org/10.1093/rfs/hhs127 |
2010 | Energy Economics: Vol. 32, Issue 2 | Jump dynamics with structural breaks for crude oil prices | Mark W. French | http://dx.doi.org/10.1086/697203 |
2010 | Energy Economics: Vol. 32, Issue 5 | The relationship between spot and futures prices in the Nord Pool electricity market | Maxim Golts, Gregory C. Jones | http://dx.doi.org/10.2139/ssrn.2014773 |
2010 | Energy Economics: Vol. 32, Issue 2 | Oil price dynamics and speculation | Chris Brooks, Marcel Prokopczuk, Yingying Wu | http://dx.doi.org/10.1002/aepp.13049 |
2010 | SSRN Electronic Journal | Oil Products Price Dynamics - Mean Reversion and Structural Breaks: Application of ARMA-GARCH-Class Models | Christian Stepanek, Matthias Walter, Andreas Rathgeber | http://dx.doi.org/10.1002/9781118710098.ch1 |
2010 | The Journal of Index Investing: Vol. 1, Issue 1 | The Long and Short of Commodity Indexes | Antonio Merino, Álvaro Ortiz | http://dx.doi.org/10.1007/s12667-019-00325-3 |
2010 | Journal of Applied Econometrics: Vol. 25, Issue 4 | What do we learn from the price of crude oil futures? | Guillaume Chevillon, Christine Rifflart | http://dx.doi.org/10.1007/978-3-319-74336-3_482-1 |
2010 | SSRN Electronic Journal | Alternative Risk Transfer: The Convergence of the Insurance and Capital Markets, Part III – Utilization of Life Insurance-Linked Securities | | http://dx.doi.org/10.1007/0-387-23196-X_6 |
2010 | Quantitative Finance: Vol. 10, Issue 8 | Markov models for commodity futures: theory and practice | Luca Barbaglia, Ines Wilms, Christophe Croux | http://dx.doi.org/10.2139/ssrn.1942818 |
2010 | European Journal of Operational Research: Vol. 206, Issue 3 | Technology choice under several uncertainty sources | | http://dx.doi.org/10.2139/ssrn.1107966 |
2010 | IMF Working Papers: Vol. 10, Issue 222 | How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock | Marco Antonio Guimarães Dias | http://dx.doi.org/10.1016/j.eneco.2021.105300 |
2009 | SSRN Electronic Journal | Risk-Adjusted Forecasts of Oil Prices | Jaime Casassus, Peng Liu, Ke Tang | http://dx.doi.org/10.1016/S0301-4215(03)00065-X |
2009 | Energy Policy: Vol. 37, Issue 5 | Cointegration between oil spot and future prices of the same and different grades in the presence of structural change | | http://dx.doi.org/10.1080/13518470701773593 |
2009 | Energy Economics: Vol. 31, Issue 1 | The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach | Szymon Borak, Stefan Trrck, Rafal Weron | http://dx.doi.org/10.5089/9781455208876.001 |
2009 | Energy Economics: Vol. 31, Issue 4 | Physical market determinants of the price of crude oil and the market premium | | http://dx.doi.org/10.2139/ssrn.3192599 |
2009 | Energy Policy: Vol. 37, Issue 12 | Does the European natural gas market pass the competitive benchmark of the theory of storage? Indirect tests for three major trading points | Marko Melolinna | http://dx.doi.org/10.1590/1678-6971/eramf200086 |
2009 | Energy Economics: Vol. 31, Issue 1 | Forecasting volatility of crude oil markets | Giulio Cifarelli, Giovanna Paladino | http://dx.doi.org/10.1002/9781118673638.refs |
2009 | Energy Economics: Vol. 31, Issue 2 | Investment and uncertainty in the international oil and gas industry | | http://dx.doi.org/10.2139/ssrn.2075514 |
2009 | Finance and Economics Discussion Series: Vol. 2009.0, Issue 29 | Does Speculation Affect Spot Price Levels? The Case of Metals with and without Futures Markets | Hui Bu | http://dx.doi.org/10.2139/ssrn.2874907 |
2009 | The Energy Journal: Vol. 30, Issue 3 | Natural Gas Pricing in Countries of the Middle East and North Africa | | http://dx.doi.org/10.2139/ssrn.1499099 |
2009 | SSRN Electronic Journal | Valuing Plug-In Hybrid Electric Vehicles' Battery Capacity Using a Real Options Framework | Rabin K. Jana, Indranil Ghosh, P. N. Ram Kumar | http://dx.doi.org/10.1016/j.eneco.2014.05.015 |
2009 | SSRN Electronic Journal | Is Oil a Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years | Goknur Umutlu, André Dorsman, Erdinc Telatar | http://dx.doi.org/10.3905/jii.2011.2.1.014 |
2009 | SSRN Electronic Journal | Carbon Allowances as Inputs or Financial Assets: Lesson Learned from the Pilot Phase of the EU-ETS | Robert. K. Kaufmann, Caitlin Connelly | http://dx.doi.org/10.1016/j.eneco.2019.03.004 |
2008 | SSRN Electronic Journal | Long and Short Term Jumps in Commodity Futures Prices | Daniele Valenti, Andrea Bastianin, Matteo Manera | http://dx.doi.org/10.1073/pnas.1413108112 |
2008 | European Journal of Operational Research: Vol. 190, Issue 1 | Investment timing and optimal capacity choice for small hydropower projects | Sophie van Huellen | http://dx.doi.org/10.1016/j.irfa.2016.03.014 |
2008 | Energy Economics: Vol. 30, Issue 2 | Does oilrig activity react to oil price changes? An empirical investigation | Ming Fang, Yizhou Lin, Chiu-Lan Chang | http://dx.doi.org/10.2139/ssrn.2784793 |
2008 | Journal of Banking & Finance: Vol. 32, Issue 10 | Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets | | http://dx.doi.org/10.1007/978-3-319-28201-5_10 |
2008 | The European Journal of Finance: Vol. 14, Issue 2 | Commodity volatility modelling and option pricing with a potential function approach | lvaro Cartea, James Cheeseman, Sebastian Jaimungal | http://dx.doi.org/10.2139/ssrn.2191659 |
2008 | SSRN Electronic Journal | Markov Models for Commodity Futures: Theory and Practice | N Samak, R Hosni , M Kamal | http://dx.doi.org/10.1017/9781108399685.007 |
2008 | Energy Economics: Vol. 30, Issue 3 | Market price of risk implied by Asian-style electricity options and futures | Trevor A. Reeve, Robert John Vigfusson | http://dx.doi.org/10.1016/j.jbankfin.2017.12.011 |
2008 | Energy Economics: Vol. 30, Issue 3 | Asymmetric price responses, market integration and market power: A study of the U.S. natural gas market | Christoph Weber, Malte Sunderkötter | http://dx.doi.org/10.1016/j.eneco.2024.107965 |
2007 | Journal of Forecasting: Vol. 26, Issue 7 | Forecasting the price of crude oil via convenience yield predictions | Marie-Claude Beaulieu, Lynda Khalaf, Maral Kichian, Jean-Marie Dufour | http://dx.doi.org/10.1007/978-3-8350-9408-6_2 |
2007 | SSRN Electronic Journal | Gas Storage and Security of Supply in the Medium Run | Julien Chevallier | http://dx.doi.org/10.1016/j.jcomm.2022.100310 |
2007 | Journal of Futures Markets: Vol. 27, Issue 4 | On inverse carrying charges and spatial arbitrage | Donald F. Larson | http://dx.doi.org/10.1002/fut.20249 |
2007 | SSRN Electronic Journal | Commodity Asian Options: A Closed-Form Formula | Alexandre R. Scarcioffolo, Xiaoli Etienne | http://dx.doi.org/10.2139/ssrn.3732527 |
2006 | SSRN Electronic Journal | Explaining Large Inventories: The Case of Iran | Stefan Trueck, Wolfgang Hardle, Rafal Weron | http://dx.doi.org/10.2139/ssrn.1783532 |
2006 | SSRN Electronic Journal | Convenience Yields for Co2 Emission Allowance Futures Contracts | Frederic Murphy, Fernando S. Oliveira | http://dx.doi.org/10.1002/fut.21633 |
2005 | SSRN Electronic Journal | Why and When do Spot Prices of Crude Oil Revert to Futures Price Levels? | Ingmar Ritzenhofen, Stefan Spinler | http://dx.doi.org/10.1016/j.jimonfin.2019.03.003 |
2005 | OPEC Review: Vol. 29, Issue 2 | Explaining the so‐called “price premium” in oil markets | Christian Stepanek | http://dx.doi.org/10.5547/01956574.38.5.sbyu |
2005 | Management Science: Vol. 51, Issue 7 | Soybean Inventory and Forward Curve Dynamics | Kiran Torani, Gordon Rausser, David Zilberman | http://dx.doi.org/10.2139/ssrn.3964392 |
2005 | Finance and Economics Discussion Series: Vol. 2005.0, Issue 30 | Why and When do Spot Prices of Crude Oil Revert to Futures Price Levels? | Qianqian Mao, Jens-Peter Loy, Thomas Glauben, Yanjun Ren | http://dx.doi.org/10.1016/j.eneco.2014.12.008 |
2005 | SSRN Electronic Journal | Commodity Forecasting for Tactical Asset Allocation | Xinghua Fan, Shasha Li, Lixin Tian | http://dx.doi.org/10.1002/agr.21939 |
2005 | SSRN Electronic Journal | Valuation of Commodity Derivatives with an Unobservable Convenience Yield | Giulio Cifarelli, Paolo Paesani | http://dx.doi.org/10.1002/fut.20523 |
2004 | Energy Policy: Vol. 32, Issue 9 | Pricing of Contracts for Difference in the Nordic market | Stefano Ciliberti, Gaetano Martino, Angelo Frascarelli, Gabriele Chiodini | http://dx.doi.org/10.1007/s10479-021-04172-3 |
2004 | The Energy Journal: Vol. 25, Issue 3 | Implied Volatility of Oil Futures Options Surrounding OPEC Meetings | | http://dx.doi.org/10.1134/S004057952104031X |
2004 | SSRN Electronic Journal | Oil Price Developments: Drivers, Economic Consequences and Policy Responses | Phillip A. Cartwright, Natalija Riabko | http://dx.doi.org/10.1016/j.eneco.2009.08.014 |
2004 | Contemporary Economic Policy: Vol. 22, Issue 2 | Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures | Paul D. Kaplan | http://dx.doi.org/10.1017/9781108399685.003 |
2004 | Journal of Petroleum Science and Engineering: Vol. 44, Issue 1-2 | Valuation of exploration and production assets: an overview of real options models | Nadav Ben Zeev, Evi Pappa, Alejandro Vicondoa | http://dx.doi.org/10.2139/ssrn.3074540 |
2003 | IEEE Power and Energy Magazine: Vol. 1, Issue 2 | Valuation of services. Competitive industry modeling | Kai Chang | http://dx.doi.org/10.2139/ssrn.2630107 |
2003 | Atlantic Economic Journal: Vol. 31, Issue 1 | Elasticity of demand for relative petroleum inventory in the short run | Duc Binh Benno Nguyen, Marcel Prokopczuk | http://dx.doi.org/10.1016/j.regsciurbeco.2013.09.005 |