A multicommodity model of futures prices: Using futures prices of one commodity to estimate the stochastic process of another
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- Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2019. "Commodity Price Forecasts, Futures Prices, and Pricing Models," Management Science, INFORMS, vol. 65(9), pages 4141-4155, September.
- Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S., 2015. "Expected commodity returns and pricing models," Energy Economics, Elsevier, vol. 49(C), pages 60-71.
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- Gonzalo Cortazar & Simon Gutierrez & Hector Ortega, 2016. "Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 457-487, May.
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- Dolores Furio & Javier Poblacion, 2018. "Electricity and Natural Gas Prices Sharing the Long-term Trend: Some Evidence from the Spanish Market," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 173-180.
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"Maximal Gaussian Affine Models for Multiple Commodities: A Note,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 75-86, January.
- Jaime Casassus & Peng Liu & Ke Tang, 2014. "Maximal Gaussian Affine Models for Multiple Commodities: A Note," Documentos de Trabajo 456, Instituto de Economia. Pontificia Universidad Católica de Chile..
- 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..
- Farkas, Walter & Gourier, Elise & Huitema, Robert & Necula, Ciprian, 2017.
"A two-factor cointegrated commodity price model with an application to spread option pricing,"
Journal of Banking & Finance, Elsevier, vol. 77(C), pages 249-268.
- Ciprian Necula & Elise Gourier & Robert Huitema & Walter Farkas, 2015. "A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing," Swiss Finance Institute Research Paper Series 15-54, Swiss Finance Institute, revised Jun 2016.
- Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
- Andr�s Garc�a Mirantes & Javier Población & Gregorio Serna, 2012. "Analyzing the dynamics of the refining margin: implications for valuation and hedging," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1839-1855, December.
- Rauch, Johannes & Krayzler, Mikhail & Brunner, Bernhard & Zagst, Rudi, 2013. "Pricing of derivatives on commodity indices," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 143-151.
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