Commodity convenience yield and risk premium determination: The case of the U.S. natural gas market
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References listed on IDEAS
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- Beatriz Martínez, Beatriz Martínez & Hipòlit Torró, Hipòlit Torró, 2016. "Anatomy of Risk Premium in UK Natural Gas Futures," ESP: Energy Scenarios and Policy 232212, Fondazione Eni Enrico Mattei (FEEM).
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- 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.
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"Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps,"
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- Benoît Sévi, 2014. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Working Papers 2014-602, Department of Research, Ipag Business School.
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"Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period,"
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- Stefan Trück & Rafal Weron, 2015. "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports HSC/15/03, Hugo Steinhaus Center, Wroclaw University of Technology.
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