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Equilibrium Forward Curves for Commodities

Citations

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Cited by:

  1. Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard, 2007. "Market Power in Power Markets: Evidence from Forward Prices of Electricity," CREATES Research Papers 2007-30, Department of Economics and Business Economics, Aarhus University.
  2. Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
  3. Hendrik Bessembinder & Michael L. Lemmon, 2002. "Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets," Journal of Finance, American Finance Association, vol. 57(3), pages 1347-1382, June.
  4. repec:dau:papers:123456789/13631 is not listed on IDEAS
  5. Guoming Lai & Mulan X. Wang & Sunder Kekre & Alan Scheller-Wolf & Nicola Secomandi, 2011. "Valuation of Storage at a Liquefied Natural Gas Terminal," Operations Research, INFORMS, vol. 59(3), pages 602-616, June.
  6. Evans, Lewis & Counsell, Kevin & Guthrie, Graeme, 2006. "Options Provided by Storage can Explain High Electricity Prices," Working Paper Series 3943, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  7. Ren'e Aid & Andrea Cosso & Huy^en Pham, 2020. "Equilibrium price in intraday electricity markets," Papers 2010.09285, arXiv.org.
  8. Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010. "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
  9. Dolatabadi, Sepideh & Nielsen, Morten Ørregaard & Xu, Ke, 2016. "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 623-639.
  10. Sung Je Byun, 2017. "Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  11. Aaron Smith, 2005. "Partially overlapping time series: a new model for volatility dynamics in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 405-422.
  12. Assia Elgouacem, 2018. "Essays on investment and saving [Essais sur l’investissement et l’épargne]," SciencePo Working papers tel-03419405, HAL.
  13. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance.
  14. Eyal Dvir & Ken Rogoff, 2009. "The Three Epochs of Oil," Boston College Working Papers in Economics 706, Boston College Department of Economics.
  15. Lence, Sergio H. & Hayes, Dermot J., 2002. "Option Pricing On Renewable Commodity Markets," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19053, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  16. Alvaro Cartea & Marcelo Figueroa & Helyette Geman, 2009. "Modelling Electricity Prices with Forward Looking Capacity Constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 103-122.
  17. Ai, Chunrong & Chatrath, Arjun & Song, Frank, 2007. "A semiparametric estimation of the optimal hedge ratio," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(2), pages 366-381, May.
  18. Creti, Anna & Villeneuve, Bertrand, 2008. "Equilibrium Storage in a Markov Economy," MPRA Paper 11944, University Library of Munich, Germany.
  19. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
  20. Bühler, Wolfgang & Korn, Olaf, 1998. "Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures: möglich oder unmöglich?," ZEW Discussion Papers 98-20, ZEW - Leibniz Centre for European Economic Research.
  21. Horváth, Lajos & Liu, Zhenya & Rice, Gregory & Wang, Shixuan, 2020. "A functional time series analysis of forward curves derived from commodity futures," International Journal of Forecasting, Elsevier, vol. 36(2), pages 646-665.
  22. Heckelei, T. & Amrouk, E.M. & Grosche, S., 2018. "International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277376, International Association of Agricultural Economists.
  23. Anna Creti & Bertrand Villeneuve, 2013. "Commodity storage with durable shocks : A simple Markovian model," Post-Print hal-01517436, HAL.
  24. Suenaga, Hiroaki, 2013. "Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 53-66.
  25. Chi Truong, 2012. "An Analysis of Storage Capacity Reallocation Impacts on the Irrigation Sector," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 51(1), pages 141-159, January.
  26. Liu, Peng & Tang, Ke, 2011. "The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 211-224, March.
  27. Murray Carlson & Zeigham Khokher & Sheridan Titman, 2007. "Equilibrium Exhaustible Resource Price Dynamics," Journal of Finance, American Finance Association, vol. 62(4), pages 1663-1703, August.
  28. Mathias Schneid Tessmann & Carlos Enrique Carrasco-Gutierrez & Alexandre Vasconcelos Lima, 2023. "Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(1), pages 1-65, January.
  29. Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
  30. Dempster, M.A.H. & Medova, Elena & Tang, Ke, 2008. "Long term spread option valuation and hedging," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2530-2540, December.
  31. Gruber, Joseph W. & Vigfusson, Robert J., 2018. "Interest Rates And The Volatility And Correlation Of Commodity Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 600-619, April.
  32. repec:dau:papers:123456789/1433 is not listed on IDEAS
  33. Haugom, Erik & Ullrich, Carl J., 2012. "Market efficiency and risk premia in short-term forward prices," Energy Economics, Elsevier, vol. 34(6), pages 1931-1941.
  34. Zulauf, Carl R. & Sanghyo, Kim, 2014. "Is Storage Rational When the Price is Expected to Decline? An Initial Study Using Data from U.S. Futures and Options Markets," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170593, Agricultural and Applied Economics Association.
  35. Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014. "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Staff Working Papers 14-42, Bank of Canada.
  36. Ron Alquist & Lutz Kilian, 2010. "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 539-573.
  37. Ames, Matthew & Bagnarosa, Guillaume & Matsui, Tomoko & Peters, Gareth W. & Shevchenko, Pavel V., 2020. "Which risk factors drive oil futures price curves?," Energy Economics, Elsevier, vol. 87(C).
  38. Nicolas Legrand, 2019. "The Empirical Merit Of Structural Explanations Of Commodity Price Volatility: Review And Perspectives," Journal of Economic Surveys, Wiley Blackwell, vol. 33(2), pages 639-664, April.
  39. Owen Q. Wu & Hong Chen, 2010. "Optimal Control and Equilibrium Behavior of Production-Inventory Systems," Management Science, INFORMS, vol. 56(8), pages 1362-1379, August.
  40. Brajesh Kumar, 2016. "Asymmetric Volatility of Net Convenience Yield: Evidence from Indian Commodity Futures Markets," Proceedings of Economics and Finance Conferences 3205752, International Institute of Social and Economic Sciences.
  41. repec:dau:papers:123456789/14413 is not listed on IDEAS
  42. Pieroni, Luca & Ricciarelli, Matteo, 2008. "Modelling dynamic storage function in commodity markets: Theory and evidence," Economic Modelling, Elsevier, vol. 25(5), pages 1080-1092, September.
  43. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013. "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
  44. Baur, Dirk G. & Dimpfl, Thomas, 2018. "The asymmetric return-volatility relationship of commodity prices," Energy Economics, Elsevier, vol. 76(C), pages 378-387.
  45. Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2015. "Commodity derivatives pricing with cointegration and stochastic covariances," European Journal of Operational Research, Elsevier, vol. 246(2), pages 476-486.
  46. Jaeck, Edouard & Lautier, Delphine, 2016. "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, vol. 59(C), pages 300-313.
  47. Evans, Lewis & Guthrie, Graeme, 2007. "Commodity Price Behavior With Storage Frictions," Working Paper Series 19065, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  48. Robert Brooks & Pavel Teterin, 2020. "Samuelson hypothesis, arbitrage activity, and futures term premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1420-1441, September.
  49. repec:dau:papers:123456789/11383 is not listed on IDEAS
  50. Coulon, Michael & Khazaei, Javad & Powell, Warren B., 2015. "SMART-SREC: A stochastic model of the New Jersey solar renewable energy certificate market," Journal of Environmental Economics and Management, Elsevier, vol. 73(C), pages 13-31.
  51. Deng, S.J. & Oren, S.S., 2006. "Electricity derivatives and risk management," Energy, Elsevier, vol. 31(6), pages 940-953.
  52. Lusheng Shao & Derui Wang & Xiaole Wu, 2022. "Competitive trading in forward and spot markets under yield uncertainty," Production and Operations Management, Production and Operations Management Society, vol. 31(9), pages 3400-3418, September.
  53. Martínez de Albeniz, Victor & Vendrell, Josep M., 2008. "A capacitated commodity trading model with market power," IESE Research Papers D/728, IESE Business School.
  54. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
  55. Basu, Devraj & Miffre, Joëlle, 2013. "Capturing the risk premium of commodity futures: The role of hedging pressure," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2652-2664.
  56. Fusai, Gianluca & Marena, Marina & Roncoroni, Andrea, 2008. "Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2033-2045, October.
  57. Evans, Lewis & Counsell, Kevin & Guthrie, Graeme, 2006. "Options Provided by Storage can Explain High Electricity Prices," Working Paper Series 19042, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  58. Amar Sapra & Peter L. Jackson, 2022. "Integration of long‐ and short‐term contracts in a market for capacity," Production and Operations Management, Production and Operations Management Society, vol. 31(7), pages 2872-2890, July.
  59. Hikaru Hanawa Peterson & William G. Tomek, 2005. "How much of commodity price behavior can a rational expectations storage model explain?," Agricultural Economics, International Association of Agricultural Economists, vol. 33(3), pages 289-303, November.
  60. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
  61. Ing-Haw Cheng & Wei Xiong, 2014. "Financialization of Commodity Markets," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
  62. Nicolas Merener, 2012. "Globally Distributed Production and Asset Pricing:the Rise of Latin America in CME Soybean Futures," Business School Working Papers 2012-01, Universidad Torcuato Di Tella.
  63. Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2017. "Commodity Storage and the Market Effects of Biofuel Policies," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(4), pages 1027-1055.
  64. Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005. "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers 11864, National Bureau of Economic Research, Inc.
  65. Mark W. French, 2005. "Why and when do spot prices of crude oil revert to futures price levels?," Finance and Economics Discussion Series 2005-30, Board of Governors of the Federal Reserve System (U.S.).
  66. Yang, Fan, 2013. "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, vol. 110(1), pages 164-184.
  67. repec:wvu:wpaper:06-16 is not listed on IDEAS
  68. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
  69. Jesse Blocher & Ricky Cooper & Marat Molyboga, 2018. "Benchmarking commodity investments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 340-358, March.
  70. Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, October.
  71. Nishimura, Kazuo & Stachurski, John, 2009. "Equilibrium storage with multiple commodities," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 80-96, January.
  72. Nicola Secomandi, 2010. "Optimal Commodity Trading with a Capacitated Storage Asset," Management Science, INFORMS, vol. 56(3), pages 449-467, March.
  73. Raphaël H. Boroumand & Stéphane Goutte & Ehud I. Ronn, 2020. "Characterizing the hedging policies of commodity price‐sensitive corporations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1264-1281, August.
  74. Fouquau, Julien & Six, Pierre, 2015. "A comparison of the convenience yield and interest-adjusted basis," Finance Research Letters, Elsevier, vol. 14(C), pages 142-149.
  75. Mellios, Constantin & Six, Pierre & Lai, Anh Ngoc, 2016. "Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield," European Journal of Operational Research, Elsevier, vol. 250(2), pages 493-504.
  76. Renata Guobužaitė & Deimantė Teresienė, 2021. "Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic," Economies, MDPI, vol. 9(2), pages 1-16, May.
  77. Jaime Casassus & Peng Liu & Ke Tang, 2011. "Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns," Documentos de Trabajo 404, Instituto de Economia. Pontificia Universidad Católica de Chile..
  78. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013. "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
  79. Goto, Mika & Karolyi, G. Andrew, 2004. "Understanding Electricity Price Volatility within and across Markets," Working Paper Series 2004-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  80. Nicolas Legrand & Christophe Gouel, 2022. "The Role of Storage in Commodity Markets: Indirect Inference Based on Grains Data," Working Papers hal-03809825, HAL.
  81. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc.
  82. Assia Elgouacem, 2018. "Essays on investment and saving [Essais sur l’investissement et l’épargne]," SciencePo Working papers Main tel-03419405, HAL.
  83. Casassus, Jaime & Collin-Dufresne, Pierre & Routledge, Bryan R., 2018. "Equilibrium commodity prices with irreversible investment and non-linear technologies," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 128-147.
  84. Martínez, Beatriz & Torró, Hipòlit, 2023. "Theory of storage implications in the European natural gas market," Journal of Commodity Markets, Elsevier, vol. 29(C).
  85. Gareth William Peters & Mark Briers & Pavel Shevchenko & Arnaud Doucet, 2013. "Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts," Methodology and Computing in Applied Probability, Springer, vol. 15(4), pages 841-874, December.
  86. Xavier Brusset, 2005. "How information influences the cost of transport in a supply chain, a monte carlo simulation," Econometrics 0512008, University Library of Munich, Germany.
  87. Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
  88. Kim, Jaeho & Linn, Scott C., 2022. "Price discovery under model uncertainty," Energy Economics, Elsevier, vol. 107(C).
  89. Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June.
  90. Sanghyo Kim & Carl Zulauf, 2019. "Crowding out of private stocks by public stocks," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(11), pages 520-528.
  91. Lin, Chuanyi & Roberts, Matthew C., 2006. "Storability on Modeling Commodity Futures Prices," 2006 Annual meeting, July 23-26, Long Beach, CA 21484, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  92. W. Keener Hughen, 2010. "A maximal affine stochastic volatility model of oil prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(2), pages 101-133, February.
  93. Delphine H. Lautier, Franck Raynaud, and Michel A. Robe, 2019. "Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  94. repec:dau:papers:123456789/5384 is not listed on IDEAS
  95. Katsushi Nakajima, 2022. "Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield," Annals of Finance, Springer, vol. 18(1), pages 35-80, March.
  96. Doran, James S. & Ronn, Ehud I., 2008. "Computing the market price of volatility risk in the energy commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2541-2552, December.
  97. Anh Ngoc Lai & Constantin Mellios, 2016. "Valuation of commodity derivatives with an unobservable convenience yield," Post-Print halshs-01183166, HAL.
  98. Longstaff, Francis & Wang, Ashley, 2002. "Electricity Forward Prices: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7mh2m2bt, Anderson Graduate School of Management, UCLA.
  99. Irwin, Scott H., 2020. "Trilogy for troubleshooting convergence: Manipulation, structural imbalance, and storage rates," Journal of Commodity Markets, Elsevier, vol. 17(C).
  100. Wolfgang Bühler & Olaf Korn & Rainer Schöbel, 2005. "Hedging Long-Term Forwards with Short-Term Futures: A Two-Regime Approach," Review of Derivatives Research, Springer, vol. 7(3), pages 185-212, October.
  101. Ren'e Aid & Luciano Campi & Liangchen Li & Mike Ludkovski, 2020. "An Impulse-Regime Switching Game Model of Vertical Competition," Papers 2006.04382, arXiv.org.
  102. José Luis Fernández & Marta Pou & Carlos Vázquez, 2015. "A drift‐free simulation method for pricing commodity derivatives," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 31(4), pages 536-550, July.
  103. Paschke, Raphael & Prokopczuk, Marcel, 2007. "Integrating Multiple Commodities in a Model of Stochastic Price Dynamics," MPRA Paper 5412, University Library of Munich, Germany.
  104. Li, Shanling & Murat, Alper & Huang, Wanzhen, 2009. "Selection of contract suppliers under price and demand uncertainty in a dynamic market," European Journal of Operational Research, Elsevier, vol. 198(3), pages 830-847, November.
  105. Jason West, 2012. "Convenience Yields in Bulk Commodities: The Case of Thermal Coal," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(4), pages 33-44.
  106. Power, Gabriel J. & Eaves, James & Turvey, Calum & Vedenov, Dmitry, 2017. "Catching the curl: Wavelet thresholding improves forward curve modelling," Economic Modelling, Elsevier, vol. 64(C), pages 312-321.
  107. Dvir, Eyal & Rogoff, Kenneth, 2014. "Demand effects and speculation in oil markets: Theory and evidence," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 113-128.
  108. Ç Haksöz & S Seshadri, 2007. "Supply chain operations in the presence of a spot market: a review with discussion," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 58(11), pages 1412-1429, November.
  109. Hugues Dastarac, 2021. "Strategic Trading, Welfare and Prices with Futures Contracts," Working papers 841, Banque de France.
  110. Longstaff, Francis A & Wang, Ashley, 2002. "ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt3mw4q41x, Anderson Graduate School of Management, UCLA.
  111. Douglas, Stratford & Popova, Julia, 2008. "Storage and the electricity forward premium," Energy Economics, Elsevier, vol. 30(4), pages 1712-1727, July.
  112. Werner, Dan, 2014. "Electricity Market Price Volatility: The Importance of Ramping Costs," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169619, Agricultural and Applied Economics Association.
  113. Stepanek, Christian & Walter, Matthias & Rathgeber, Andreas, 2013. "Is the convenience yield a good indicator of a commodity's supply risk?," Resources Policy, Elsevier, vol. 38(3), pages 395-405.
  114. Liu, Peng (Peter) & Tang, Ke, 2010. "No-arbitrage conditions for storable commodities and the modeling of futures term structures," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1675-1687, July.
  115. Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices," Post-Print hal-01781761, HAL.
  116. V., Ernesto Guerra & H., Eugenio Bobenrieth & H., Juan Bobenrieth & Wright, Brian D., 2023. "Endogenous thresholds in energy prices: Modeling and empirical estimation," Energy Economics, Elsevier, vol. 121(C).
  117. repec:dau:papers:123456789/13630 is not listed on IDEAS
  118. Ready, Robert C., 2018. "Oil consumption, economic growth, and oil futures: The impact of long-run oil supply uncertainty on asset prices," Journal of Monetary Economics, Elsevier, vol. 94(C), pages 1-26.
  119. Serena Ng & Francisco J. Ruge-Murcia, 2000. "Explaining the Persistence of Commodity Prices," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 149-171, October.
  120. Ivar Ekeland & Delphine Lautier & Bertrand Villeneuve, 2019. "Hedging pressure and speculation in commodity markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(1), pages 83-123, July.
  121. Delphine Lautier & Alain Galli, 2010. "Dynamic hedging strategies: an application to the crude oil market," Post-Print halshs-00640802, HAL.
  122. Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013. "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, vol. 109(2), pages 441-465.
  123. Ren'e Aid & Luciano Campi & Delphine Lautier, 2015. "On the spot-futures no-arbitrage relations in commodity markets," Papers 1501.00273, arXiv.org, revised Feb 2018.
  124. Peng Liu & Zhigang Qiu & David Xiaoyu Xu, 2022. "Financial investments and commodity prices," International Review of Finance, International Review of Finance Ltd., vol. 22(4), pages 637-661, December.
  125. Corinne Chaton & Anna Creti & Bertrand Villeneuve, 2005. "The Economics of Seasonal Gas Storage," Working Papers 2005-52, Center for Research in Economics and Statistics.
  126. Philippe Raimbourg & Paul Zimmermann, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," Post-Print hal-04011013, HAL.
  127. René Aïd & Luciano Campi & Liangchen Li & Mike Ludkovski, 2021. "An Impulse-Regime Switching Game Model of Vertical Competition," Dynamic Games and Applications, Springer, vol. 11(4), pages 631-669, December.
  128. Dahl, Christian M. & Iglesias, Emma M., 2009. "Volatility spill-overs in commodity spot prices: New empirical results," Economic Modelling, Elsevier, vol. 26(3), pages 601-607, May.
  129. Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
  130. Viehmann, Johannes, 2011. "Risk premiums in the German day-ahead Electricity Market," Energy Policy, Elsevier, vol. 39(1), pages 386-394, January.
  131. Ioannis Kyriakou & Nikos K. Nomikos & Nikos C. Papapostolou & Panos K. Pouliasis, 2016. "Affine†Structure Models and the Pricing of Energy Commodity Derivatives," European Financial Management, European Financial Management Association, vol. 22(5), pages 853-881, November.
  132. Edouard Jaeck & Delphine Lautier, 2014. "Samuelson hypothesis and electricity derivative markets," Post-Print hal-01655800, HAL.
  133. Razvan Tudor, 2009. "Evidence of unspanned stochastic volatility in crude-oil market," Advances in Economic and Financial Research - DOFIN Working Paper Series 33, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
  134. Nazliben, Kamil, 2015. "Essays on asset pricing," Other publications TiSEM ccdafa8c-ba56-40f0-9917-e, Tilburg University, School of Economics and Management.
  135. Chen, Pei-Fen & Lee, Chien-Chiang & Zeng, Jhih-Hong, 2014. "The relationship between spot and futures oil prices: Do structural breaks matter?," Energy Economics, Elsevier, vol. 43(C), pages 206-217.
  136. Nicola Secomandi & Mulan X. Wang, 2012. "A Computational Approach to the Real Option Management of Network Contracts for Natural Gas Pipeline Transport Capacity," Manufacturing & Service Operations Management, INFORMS, vol. 14(3), pages 441-454, July.
  137. René Aid & Andrea Cosso & Huyên Pham, 2022. "Equilibrium price in intraday electricity markets," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 517-554, April.
  138. Bisht Deepak & Laha, A. K., 2017. "Pricing Option on Commodity Futures under String Shock," IIMA Working Papers WP 2017-07-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
  139. Raimbourg, Philippe & Zimmermann, Paul, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," European Journal of Operational Research, Elsevier, vol. 298(1), pages 351-367.
  140. Emmanuel Hache & Frédéric Lantz, 2011. "Oil price volatility: An Econometric Analysis of the WTI Market," Working Papers hal-02472326, HAL.
  141. E. Mamatzakis, 2014. "Revealing asymmetries in the loss function of WTI oil futures market," Empirical Economics, Springer, vol. 47(2), pages 411-426, September.
  142. Power, Gabriel J. & Turvey, Calum G., 2008. "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37608, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  143. Chen, Yu-Fu & Mu, Xiaoyi, 2021. "Asymmetric volatility in commodity markets," Journal of Commodity Markets, Elsevier, vol. 22(C).
  144. Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, and Sebastien McMahon, 2015. "The Convenience Yield and the Informational Content of the Oil Futures Price," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
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