IDEAS home Printed from https://ideas.repec.org/f/c/pmi343.html
   My authors  Follow this author

Nikolaos T. Milonas

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Maniatis, Georgios I. & Milonas, Nikolaos T., 2022. "The impact of wind and solar power generation on the level and volatility of wholesale electricity prices in Greece," Energy Policy, Elsevier, vol. 170(C).

    Cited by:

    1. Rinne, Sonja, 2024. "Estimating the merit-order effect using coarsened exact matching: Reconciling theory with the empirical results to improve policy implications," Energy Policy, Elsevier, vol. 185(C).
    2. Silvana Tiedemann & Jorge Sanchez Canales & Felix Schur & Raffaele Sgarlato & Lion Hirth & Oliver Ruhnau & Jonas Peters, 2024. "Identifying Elasticities in Autocorrelated Time Series Using Causal Graphs," Papers 2409.15530, arXiv.org.
    3. Qu, Chunzi & Bang, Rasmus Noss, 2023. "Comparative Investment Analysis of Wind and Nuclear Energy: Assessing the Impact of Changes in the Electricity Mix and Required Government Support for Investment Parity," Discussion Papers 2023/8, Norwegian School of Economics, Department of Business and Management Science.
    4. Zhou, Dequn & Zhang, Yining & Wang, Qunwei & Ding, Hao, 2024. "How do uncertain renewable energy induced risks evolve in a two-stage deregulated wholesale power market," Applied Energy, Elsevier, vol. 353(PB).

  2. Dimitris K. Chronopoulos & George Dotsis & Nikolaos T. Milonas, 2020. "International Evidence on the Determinants of Domestic Sovereign Debt Bank Holdings," Journal of Financial Services Research, Springer;Western Finance Association, vol. 58(2), pages 143-160, December.

    Cited by:

    1. Pietrovito, Filomena & Pozzolo, Alberto Franco, 2023. "Did small banks trade off lending with government bond purchases during the Sovereign debt crisis?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 666-683.

  3. Nikolaos Milonas & Nikolaos Paratsiokas, 2017. "Convenience Yields in Electricity Prices: Evidence from the Natural Gas Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(5), pages 522-538, May.

    Cited by:

    1. Akihiro Omura & Neda Todorova, 2019. "The quantile dependence of commodity futures markets on news sentiment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 818-837, July.
    2. Nikolaos T. Milonas & Evangelia K. Photina, 2024. "The convenience yield under commodity financialization," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 631-652, April.
    3. Xiong, Heng & Mamon, Rogemar, 2019. "A higher-order Markov chain-modulated model for electricity spot-price dynamics," Applied Energy, Elsevier, vol. 233, pages 495-515.

  4. Kalantzis, Fotis G. & Milonas, Nikolaos T., 2013. "Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany," Energy Economics, Elsevier, vol. 36(C), pages 454-463.

    Cited by:

    1. Uddin, Gazi Salah & Tang, Ou & Sahamkhadam, Maziar & Taghizadeh-Hesary, Farhad & Yahya, Muhammad & Cerin, Pontus & Rehme, Jakob, 2021. "Analysis of Forecasting Models in an Electricity Market under Volatility," ADBI Working Papers 1212, Asian Development Bank Institute.
    2. Sinha, Pankaj & Mathur, Kritika, 2016. "Empirical Analysis of Developments in the Day Ahead Electricity Markets in India," MPRA Paper 72969, University Library of Munich, Germany.
    3. Chai, Shanglei & Yang, Xiaoli & Zhang, Zhen & Abedin, Mohammad Zoynul & Lucey, Brian, 2022. "Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective," Research in International Business and Finance, Elsevier, vol. 63(C).
    4. Chikashi Tsuji, 2016. "Did the expectations channel work? Evidence from quantitative easing in Japan, 2001–06," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1210996-121, December.
    5. Haxhimusa, Adhurim, 2018. "The Effects of German Wind and Solar Electricity on French Spot Price Volatility: An Empirical Investigation," Department of Economics Working Paper Series 258, WU Vienna University of Economics and Business.
    6. Sirin, Selahattin Murat & Camadan, Ercument & Erten, Ibrahim Etem & Zhang, Alex Hongliang, 2023. "Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices," Energy Policy, Elsevier, vol. 180(C).
    7. Mayer, Klaus & Trück, Stefan, 2018. "Electricity markets around the world," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 77-100.
    8. Tsai, I-Chun, 2024. "Fossil energy risk exposure of the UK electricity system: The moderating role of electricity generation mix and energy source," Energy Policy, Elsevier, vol. 188(C).
    9. N. Gülpınar & F. Oliveira, 2014. "Analysis of relationship between forward and spot markets in oligopolies under demand and cost uncertainties," Computational Management Science, Springer, vol. 11(3), pages 267-283, July.
    10. Hung Do & Rabindra Nepal & Russell Smyth, 2020. "Interconnectedness in the Australian national electricity market: A higher moment analysis," CAMA Working Papers 2020-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Tiantian Liu & Xie He & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe," Energies, MDPI, vol. 13(8), pages 1-20, April.
    12. Rintamäki, Tuomas & Siddiqui, Afzal S. & Salo, Ahti, 2017. "Does renewable energy generation decrease the volatility of electricity prices? An analysis of Denmark and Germany," Energy Economics, Elsevier, vol. 62(C), pages 270-282.

  5. Milonas, Nikolaos T. & Papachristou, George A. & Roupas, Theodore A., 2009. "Fund management and its effect in the Greek social security system," Journal of Pension Economics and Finance, Cambridge University Press, vol. 8(4), pages 485-500, October.

    Cited by:

    1. Milonas, Nikolaos /T & Papachristou, George & Roupas, Theodor /A, 2010. "Pension Funds under Investments Constraints: An Assessment of the Opportunity Cost to the Greek Social Security System," MPRA Paper 36702, University Library of Munich, Germany.
    2. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2010. "The efficiency of Greek public pension fund portfolios," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2158-2167, September.

  6. Milonas, Nikolaos T. & Travlos, Nickolaos G. & Xiao, Jason Zezhong & Tan, Cunkai, 2006. "The ex-dividend day stock price behavior in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 155-174, April.

    Cited by:

    1. Josef García Blandón & M?nica Martínez Blasco & Josef Argiles Bosch, 2011. "Ex-Dividend Day Returns when Dividend and Capital Gains are Taxed at the Same Rate," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 140-152, June.
    2. Antonios Antoniou & Emilios C. Galariotis & Spyros I. Spyrou, 2005. "Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 11(1), pages 71-98, January.
    3. Vassilis A. Efthymiou & George N. Leledakis, 2014. "The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 711-724, April.
    4. Rydqvist, Kristian & Dai, Qinglei, 2007. "Investigation of the Costly-Arbitrage Model of Price Formation Around the Ex-Dividend Day," CEPR Discussion Papers 6074, C.E.P.R. Discussion Papers.
    5. Frantisek Sejkora, 2016. "Prediction model of dividend payment of Czech joint stock companies," International Journal of Entrepreneurial Knowledge, Center for International Scientific Research of VSO and VSPP, vol. 4(2), pages 51-61, December.
    6. Khamis Al Yahyaee & Toan Pham & Terry Walter, 2008. "Ex‐Dividend Day Behavior in the Absence of Taxes and Price Discreteness," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 103-123, September.
    7. Dupuis, Daniel, 2019. "Ex-dividend day price behavior and liquidity in a tax-free emerging market," Emerging Markets Review, Elsevier, vol. 38(C), pages 239-250.
    8. D. Beggs & C.L. Skeels, 2005. "Market Arbitrage of Cash Dividends and Franking Credits," Department of Economics - Working Papers Series 947, The University of Melbourne.
    9. Ming-Chang Cheng & Ching-Hwa Lee, 2016. "Trading Activities Around Ex-Dividend Days: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-17, March.
    10. Jack J.W. Yang & Tsung-Hsin Wu, 2015. "Announcement Effect of Cash Dividend Changes around Ex-Dividend Days: Evidence from Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(2), pages 77-91.
    11. Apostolos Dasilas, 2009. "The ex-dividend day stock price anomaly: evidence from the Greek stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(1), pages 59-91, March.
    12. Hue Hwa Au Yong & Christine Brown & Chloe Choy Yeing Ho, 2014. "Off-Market Buybacks in Australia: Evidence of Abnormal Trading around Key Dates," International Review of Finance, International Review of Finance Ltd., vol. 14(4), pages 551-585, December.
    13. Arquette, Gregory C. & Brown Jr., William O. & Burdekin, Richard C.K., 2008. "US ADR and Hong Kong H-share discounts of Shanghai-listed firms," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1916-1927, September.

  7. John A. Doukas & Nikolaos T. Milonas, 2004. "Investor Sentiment and the Closed‐end Fund Puzzle: Out‐of‐sample Evidence," European Financial Management, European Financial Management Association, vol. 10(2), pages 235-266, June.

    Cited by:

    1. Prashant Das & Julia Freybote & Gianluca Marcato, 2015. "An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 160-189, August.
    2. Chan, Kalok & Kot, Hung Wan & Li, Desmond, 2008. "Portfolio concentration and closed-end fund discounts: Evidence from the China market," Emerging Markets Review, Elsevier, vol. 9(2), pages 129-143, June.
    3. Lily Qiu & Ivo Welch, 2004. "Investor Sentiment Measures," NBER Working Papers 10794, National Bureau of Economic Research, Inc.
    4. Samiran Jana, 2016. "Effect of Investors’ Sentiment on Indian Stock Market," Global Business Review, International Management Institute, vol. 17(5), pages 1240-1249, October.
    5. Flynn, Sean M., 2005. "Noise-trader Risk: Does it Deter Arbitrage, and Is it Priced?," Vassar College Department of Economics Working Paper Series 69, Vassar College Department of Economics.
    6. Deven Bathia & Don Bredin, 2013. "An examination of investor sentiment effect on G7 stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 19(9), pages 909-937, October.
    7. Christian Diller & Christoph Kaserer, 2009. "What Drives Private Equity Returns?– Fund Inflows, Skilled GPs, and/or Risk?," European Financial Management, European Financial Management Association, vol. 15(3), pages 643-675, June.
    8. Rilwan Sakariyahu & Mohamed Sherif & Audrey Paterson & Eleni Chatzivgeri, 2021. "Sentiment‐Apt investors and UK sector returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3321-3351, July.
    9. Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2010. "The impact of investor sentiment on the German stock market," CFR Working Papers 10-03, University of Cologne, Centre for Financial Research (CFR).
    10. Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2013. "Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 572-591.
    11. del Río, Cristina & Ferrer, Elena & López-Arceiz, Francisco J., 2024. "Analyst optimism and market sentiment: Evidence from European corporate sustainability reporters," Research in International Business and Finance, Elsevier, vol. 69(C).
    12. Harper, Joel T. & Iyer, Subramanian Rama & Nejadmalayeri, Ali, 2017. "Diversification discount and investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 218-236.
    13. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2021. "Investor sentiment and stock returns: Global evidence," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 365-391.
    14. Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006. "Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?," Sonderforschungsbereich 504 Publications 06-12, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    15. Gizelis, Demetrios & Chowdhury, Shah, 2016. "Investor Sentiment and Stock Returns: Evidence from the Athens Stock Exchange," MPRA Paper 71243, University Library of Munich, Germany.
    16. Chen, Mei-Ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2017. "Investor sentiment and country exchange traded funds: Does economic freedom matter?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 285-299.
    17. Keiber, Karl Ludwig & Samyschew, Helene, 2016. "The pricing of sentiment risk in European stock markets," Discussion Papers 384, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    18. Ung, Sze Nie & Gebka, Bartosz & Anderson, Robert D.J., 2023. "Is sentiment the solution to the risk–return puzzle? A (cautionary) note," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    19. Sebastian Heiden & Christian Klein & Bernhard Zwergel, 2013. "Beyond Fundamentals: Investor Sentiment and Exchange Rate Forecasting," European Financial Management, European Financial Management Association, vol. 19(3), pages 558-578, June.

  8. Nikolaos Milonas & Thomas Henker, 2001. "Price spread and convenience yield behaviour in the international oil market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 23-36.

    Cited by:

    1. Giacomo Benini & Adam Brandt & Valerio Dotti & Hassan El-Houjeiri, 2023. "The Economic and Environmental Consequences of the Petroleum Industry Extensive Margin," Working Papers 2023:14, Department of Economics, University of Venice "Ca' Foscari".
    2. Sung Je Byun, 2016. "Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil," Occasional Papers 16-3, Federal Reserve Bank of Dallas.
    3. Abid, Ilyes & Goutte, Stéphane & Guesmi, Khaled & Jamali, Ibrahim, 2019. "Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets," Energy Policy, Elsevier, vol. 134(C).
    4. 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.
    5. 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).
    6. Jiasha Fu & Hui Qiao, 2022. "The Time-Varying Connectedness Between China’s Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis," Letters in Spatial and Resource Sciences, Springer, vol. 15(3), pages 341-376, December.
    7. Monge, Manuel & Gil-Alana, Luis Alberiko, 2021. "Spatial crude oil production divergence and crude oil price behaviour in the United States," Energy, Elsevier, vol. 232(C).
    8. Liu, Li & Chen, Ching-Cheng & Wan, Jieqiu, 2013. "Is world oil market “one great pool”?: An example from China's and international oil markets," Economic Modelling, Elsevier, vol. 35(C), pages 364-373.
    9. 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 Science and Technology.
    10. Diderik Lund, 2005. "How to analyze the investment–uncertainty relationship in real option models?," Review of Financial Economics, John Wiley & Sons, vol. 14(3-4), pages 311-322.
    11. Bertrand Candelon & Marc Joëts & Sessi Tokpavi, 2012. "Testing for crude oil markets globalization during extreme price movements," Post-Print hal-01411687, HAL.
    12. Hong, Yanran & Yu, Jize & Su, Yuquan & Wang, Lu, 2023. "Southern oscillation: Great value of its trends for forecasting crude oil spot price volatility," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 358-368.
    13. Gao, Xin & Li, Bingxin & Liu, Rui, 2023. "The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?," Journal of Commodity Markets, Elsevier, vol. 30(C).
    14. 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.
    15. Murphy, Frederic & Oliveira, Fernando S., 2010. "Developing a market-based approach to managing the US strategic petroleum reserve," European Journal of Operational Research, Elsevier, vol. 206(2), pages 488-495, October.
    16. Michail Filippidis & George Filis & Georgios Magkonis & Panagiotis Tzouvanas, 2023. "Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 807-825, June.
    17. Yuksel Haliloglu, Ebru & Sahin, Serkan & Berument, M. Hakan, 2021. "Brent–Dubai oil spread: Basic drivers," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 492-505.
    18. Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał, 2006. "Convenience yields for CO2 emission allowance futures contracts," SFB 649 Discussion Papers 2006-076, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Giulio Cifarelli & Giovanna Paladino, 2009. "Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years," Working Papers - Economics wp2009_12.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    20. Chau, Frankie & Kuo, Jing-Ming & Shi, Yukun, 2015. "Arbitrage opportunities and feedback trading in emissions and energy markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 130-147.
    21. Murphy, Frederic & Oliveira, Fernando S., 2013. "Pricing option contracts on the strategic petroleum reserve," Energy Economics, Elsevier, vol. 40(C), pages 242-250.
    22. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2020. "The theory of storage in the crude oil futures market, the role of financial conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1160-1175, July.
    23. Candelon, Bertrand & Joëts, Marc & Tokpavi, Sessi, 2013. "Testing for Granger causality in distribution tails: An application to oil markets integration," Economic Modelling, Elsevier, vol. 31(C), pages 276-285.
    24. Fattouh, Bassam, 2010. "The dynamics of crude oil price differentials," Energy Economics, Elsevier, vol. 32(2), pages 334-342, March.
    25. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
    26. Riza Emekter & Benjamas Jirasakuldech & Peter Went, 2012. "Rational speculative bubbles and commodities markets: application of duration dependence test," Applied Financial Economics, Taylor & Francis Journals, vol. 22(7), pages 581-596, April.
    27. Kaufmann, Robert K. & Banerjee, Shayan, 2014. "A unified world oil market: Regions in physical, economic, geographic, and political space," Energy Policy, Elsevier, vol. 74(C), pages 235-242.
    28. Kentaka Aruga, 2015. "Testing the International Crude Oil Market Integration with Structural Breaks," Economics Bulletin, AccessEcon, vol. 35(1), pages 641-649.
    29. Ji, Qiang & Fan, Ying, 2016. "Evolution of the world crude oil market integration: A graph theory analysis," Energy Economics, Elsevier, vol. 53(C), pages 90-100.
    30. Nikolaos T. Milonas & Evangelia K. Photina, 2024. "The convenience yield under commodity financialization," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 631-652, April.
    31. Jerome Geyer‐Klingeberg & Andreas W. Rathgeber, 2021. "Determinants of the WTI‐Brent price spread revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 736-757, May.
    32. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    33. Botterud, Audun & Kristiansen, Tarjei & Ilic, Marija D., 2010. "The relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, vol. 32(5), pages 967-978, September.
    34. Neil A. Wilmot, 2013. "Cointegration in the Oil Market among Regional Blends," International Journal of Energy Economics and Policy, Econjournals, vol. 3(4), pages 424-433.
    35. Reboredo, Juan C., 2011. "How do crude oil prices co-move?: A copula approach," Energy Economics, Elsevier, vol. 33(5), pages 948-955, September.
    36. Kaufmann, Robert K., 2016. "Price differences among crude oils: The private costs of supply disruptions," Energy Economics, Elsevier, vol. 56(C), pages 1-8.
    37. Zhao, Jing, 2022. "Exploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with Lasso approach," Resources Policy, Elsevier, vol. 79(C).
    38. Galay, Gregory, 2019. "Are crude oil markets cointegrated? Testing the co-movement of weekly crude oil spot prices," Journal of Commodity Markets, Elsevier, vol. 16(C).
    39. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).
    40. Giulio Cifarelli & Paolo Paesani, 2012. "An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?," Working Papers - Economics wp2012_12.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    41. Chiou Wei, Song Zan & Zhu, Zhen, 2006. "Commodity convenience yield and risk premium determination: The case of the U.S. natural gas market," Energy Economics, Elsevier, vol. 28(4), pages 523-534, July.
    42. C. L. Dunis & Jason Laws & Ben Evans, 2006. "Trading futures spreads: an application of correlation and threshold filters," Applied Financial Economics, Taylor & Francis Journals, vol. 16(12), pages 903-914.
    43. Burns, Christopher B. & Kane, Stephen, 2022. "Arbitrage breakdown in WTI crude oil futures: An analysis of the events on April 20, 2020," Resources Policy, Elsevier, vol. 76(C).

  9. Nikolaos T. Milonas, 2000. "Similarly traded securities: Greek common vs. preferred stock," European Financial Management, European Financial Management Association, vol. 6(3), pages 343-366, September.

    Cited by:

    1. Bigelli, Marco & Croci, Ettore, 2013. "Dividend privileges and the value of voting rights: Evidence from Italy," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 94-107.
    2. Evangelos Karanikas & George Leledakis & Elias Tzavalis, 2006. "Structural Changes in Expected Stock Returns Relationships: Evidence from ASE," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1610-1628, November.
    3. George Leledakis & Ian Davidson & George Karathanassis, 2003. "Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 413-426.

  10. Nikolaos T. Milonas & Stavros B. Thomadakis, 1997. "Convenience yields as call options: An empirical analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(1), pages 1-15, February.

    Cited by:

    1. An-Sing Chen & James Wuh Lin, 2004. "Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1157-1167.
    2. 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.
    3. Fernandez, Viviana, 2020. "The predictive power of convenience yields," Resources Policy, Elsevier, vol. 65(C).
    4. Laurent Ferrara & Aikaterina Karadimitropoulou & Athanasios Triantafyllou & Theodora Bermpei, 2022. "Commodity currencies revisited: The role of global commodity price uncertainty," Working Papers hal-04159791, HAL.
    5. 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.
    6. Bermpei, Theodora & Ferrara, Laurent & Karadimitropoulou, Aikaterini & Triantafyllou, Athanasios, 2024. "Commodity currencies revisited: The role of global commodity price uncertainty," Journal of International Money and Finance, Elsevier, vol. 145(C).
    7. Omura, Akihiro & Li, Bin & Chung, Richard & Todorova, Neda, 2018. "Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals," Economic Modelling, Elsevier, vol. 70(C), pages 496-510.
    8. Frechette, Darren L., 1999. "The Supply Of Storage Under Heterogeneous Expectations," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 31(3), pages 1-14, December.
    9. Lewis Evans & Graeme Guthrie, 2009. "How Options Provided by Storage Affect Electricity Prices," Southern Economic Journal, John Wiley & Sons, vol. 75(3), pages 681-702, January.
    10. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper 39903, University Library of Munich, Germany.
    11. Nikolaos Milonas & Thomas Henker, 2001. "Price spread and convenience yield behaviour in the international oil market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 23-36.
    12. Kim, Soohyeon & Kim, Jihyo & Heo, Eunnyeong, 2017. "Convenience yield of accessible inventories and imports: A case study of the Chinese copper market," Resources Policy, Elsevier, vol. 52(C), pages 277-283.
    13. 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.
    14. Nikolaos T. Milonas & Evangelia K. Photina, 2024. "The convenience yield under commodity financialization," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 631-652, April.
    15. Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
    16. Omura, Akihiro & Todorova, Neda & Li, Bin & Chung, Richard, 2015. "Convenience yield and inventory accessibility: Impact of regional market conditions," Resources Policy, Elsevier, vol. 44(C), pages 1-11.
    17. Giulio Cifarelli & Paolo Paesani, 2012. "An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?," Working Papers - Economics wp2012_12.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    18. Considine, Jennifer & Galkin, Philipp & Aldayel, Abdullah, 2022. "Inventories and the term structure of oil prices: A complex relationship," Resources Policy, Elsevier, vol. 77(C).
    19. Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
    20. Eleni Thanou & Dikaios Tserkezos, 2008. "Nonlinear Diachronic Effects Between Stock Returns and Mutual Fund Flows: Additional Empirical Evidence from the Athens Stocks Exchange," Working Papers 0826, University of Crete, Department of Economics.

  11. Milonas, Nikolaos T & Thomadakis, Stavros B, 1997. "Convenience Yield and the Option to Liquidate for Commodities with a Crop Cycle," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 24(2), pages 267-283.

    Cited by:

    1. An-Sing Chen & James Wuh Lin, 2004. "Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1157-1167.
    2. Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2019. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Working Paper series 19-03, Rimini Centre for Economic Analysis.
    3. 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.
    4. Rau-Bredow, Hans, 2022. "Contango and Backwardation in Arbitrage-Free Futures-Markets," EconStor Preprints 249292, ZBW - Leibniz Information Centre for Economics.
    5. Heaney, Richard, 2002. "Does knowledge of the cost of carry model improve commodity futures price forecasting ability?: A case study using the London Metal Exchange lead contract," International Journal of Forecasting, Elsevier, vol. 18(1), pages 45-65.
    6. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    7. Tore S. Kleppe & Atle Oglend, 2019. "Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 865-889, July.
    8. Loizos, Konstantinos, 2011. "A Note on Chapter 29 of Keynes’s Treatise on Money," MPRA Paper 54022, University Library of Munich, Germany.
    9. Rau-Bredow, Hans, 2022. "Contango and Backwardation in Arbitrage-Free Futures-Markets," MPRA Paper 111688, University Library of Munich, Germany.
    10. Zulauf, Carl R. & Zhou, Haijiang & Roberts, Matthew C., 2005. "Updating the Estimation of the Supply of Storage Model," 2005 Annual meeting, July 24-27, Providence, RI 19122, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    11. Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
    12. Eleni Thanou & Dikaios Tserkezos, 2008. "Nonlinear Diachronic Effects Between Stock Returns and Mutual Fund Flows: Additional Empirical Evidence from the Athens Stocks Exchange," Working Papers 0826, University of Crete, Department of Economics.

  12. Nikolaos T. Milonas, 1991. "Measuring seasonalities in commodity markets and the half‐month effect," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(3), pages 331-345, June.

    Cited by:

    1. Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013. "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 273-290.
    2. Apostolos Serletis & Asghar Shahmoradi, 2007. "Returns and Volatility in the NYMEX Henry Hub Natural Gas Futures Market," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 15, pages 193-204, World Scientific Publishing Co. Pte. Ltd..
    3. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016. "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 133-150.
    4. Chris Motengwe & Angel Pardo, 2015. "A Study of Seasonality on the Safex Wheat Market," Agrekon, Taylor & Francis Journals, vol. 54(4), pages 45-72, November.
    5. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2015. "Combining momentum with reversal in commodity futures," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 423-444.
    6. Peter Arendas & Jana Kotlebova, 2019. "The Turn of the Month Effect on CEE Stock Markets," IJFS, MDPI, vol. 7(4), pages 1-19, October.
    7. Burakov, D. & Freidin, M., 2018. "Is the Halloween Effect Present on the Markets for Agricultural Commodities?," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 10(2).
    8. Unknown, 2012. "Journal of International Agricultural Trade and Development, Volume 08, Issue 1," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 8(1), pages 112-112.
    9. Brian Lucey & Edel Tully, 2005. "Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002," The Institute for International Integration Studies Discussion Paper Series iiisdp057, IIIS.
    10. Svetlana Borovkova & Helyette Geman, 2006. "Seasonal and stochastic effects in commodity forward curves," Review of Derivatives Research, Springer, vol. 9(2), pages 167-186, September.
    11. Kirk, Robert, 1971. "Growth Potential Identification and Public Investment Strategy," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 1(1), pages 1-12.
    12. Framingham, Charles F. & Craddock, W.J., 1974. "Urban Implications of Regional and Interregional Efficiency in Agricultural Production," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 4(1), pages 1-18.
    13. Sheng-Hung Chen & Song-Zan Chiou-Wei & Zhen Zhu, 2022. "Stochastic seasonality in commodity prices: the case of US natural gas," Empirical Economics, Springer, vol. 62(5), pages 2263-2284, May.
    14. Peter ARENDAS, 2017. "The Halloween effect on the agricultural commodities markets," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 63(10), pages 441-448.

  13. Nikolaos T. Milonas, 1987. "The effects of USDA crop announcements on commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(5), pages 571-589, October.

    Cited by:

    1. Shafer, Carl E., 1989. "Price And Value Effects Of Pecan Crop Forecasts, 1971-1987," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 21(1), pages 1-7, July.
    2. Egelkraut, Thorsten M. & Garcia, Philip & Irwin, Scott H. & Good, Darrel L., 2002. "An Evaluation Of Crop Forecast Accuracy For Corn And Soybeans: Usda And Private Information Services," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19068, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    3. Joseph, Kishore & Garcia, Philip, 2016. "Intraday Market Effects in Electronic Soybean Futures Market during Non-Trading and Trading Hour Announcements," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235772, Agricultural and Applied Economics Association.
    4. Arnade, Carlos & Hoffman, Linwood & Effland, Anne, 2021. "The Impact of Public Information on Commodity Market Performance: The Response of Corn Futures to USDA Corn Production Forecasts," USDA Miscellaneous 313488, United States Department of Agriculture.
    5. Isengildina, Olga & Irwin, Scott H. & Good, Darrel L., 2005. "The Value of USDA Situation and Outlook Information in Hog and Cattle Markets," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19050, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    6. Plante, Michael & Dhaliwal, Navi, 2017. "Inventory shocks and the oil–ethanol–grain price nexus," Economics Letters, Elsevier, vol. 156(C), pages 58-60.
    7. Fan, Zaifeng & Jump, Jeff & Tse, Yiuman & Yu, Linda, 2023. "Volatility in US dairy futures markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
    8. Bethlem, Isadora Vercesi & Lima, Roberto Arruda de Souza & Lima, Lilian Maluf de, 2023. "The impact of the USDA soybean crop condition reports on CBOT futures prices," Revista de Economia e Sociologia Rural (RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 61(2), January.
    9. Anderson, John D. & Ward, Clement E. & Koontz, Stephen R. & Peel, Derrell S. & Trapp, James N., 1998. "Experimental Simulation Of Public Information Impacts On Price Discovery And Marketing Efficiency In The Fed Cattle Market," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(1), pages 1-17, July.
    10. Valcarcel, Victor J. & Vivian, Andrew J. & Wohar, Mark E., 2017. "Predictability and underreaction in industry-level returns: Evidence from commodity markets," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 1-15.

  14. Milonas, Nikolaos T, 1986. "Liquidity and Price Variability in Futures Markets," The Financial Review, Eastern Finance Association, vol. 21(2), pages 211-237, May.

    Cited by:

    1. Ding, Shusheng & Cui, Tianxiang & Zheng, Dandan & Du, Min, 2021. "The effects of commodity financialization on commodity market volatility," Resources Policy, Elsevier, vol. 73(C).
    2. Smimou, K., 2014. "Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 186-209.
    3. Aris Kartsaklas, 2018. "Trader Type Effects On The Volatility‐Volume Relationship Evidence From The Kospi 200 Index Futures Market," Bulletin of Economic Research, Wiley Blackwell, vol. 70(3), pages 226-250, July.
    4. Aliaga Lordemann, Javier & Mora-García, Claudio & Mulder, Nanno, 2021. "Speculation and price volatility in the coffee market," Documentos de Proyectos 46923, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).

  15. Nikolaos T. Milonas, 1986. "A note on agricultural options and the variance of futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(4), pages 671-676, December.

    Cited by:

    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

  16. Nikolaos T. Milonas, 1986. "Price variability and the maturity effect in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(3), pages 443-460, September.

    Cited by:

    1. Patricia Fraser & Andrew McKaig, 2001. "Basis variation and a common source of risk: evidence from UK futures markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 39-62.
    2. Sherrick, Bruce J. & Irwin, Scott H. & Forster, D. Lynn, 1990. "Nonstationarity Of Soybean Futures Price Distributions: Option-Based Evidence," 1990 Annual meeting, August 5-8, Vancouver, Canada 270920, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Jane Black & Ian Tonks, 2000. "Time series volatility of commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(2), pages 127-144, February.
    4. Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012. "Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 83-103, December.
    5. 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.
    6. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
    7. Jing Ao & Jihui Chen, 2020. "Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 627-654, October.
    8. Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
    9. Berna Karali & Jeffrey H. Dorfman & Walter N. Thurman, 2010. "Delivery horizon and grain market volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(9), pages 846-873, September.
    10. Apostolos Serletis & Asghar Shahmoradi, 2007. "Returns and Volatility in the NYMEX Henry Hub Natural Gas Futures Market," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 15, pages 193-204, World Scientific Publishing Co. Pte. Ltd..
    11. Motengwe, Chris & Alagidede, Paul, 2016. "Maturity Effects in Futures Contracts on the SAFEX Market," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 55(4), December.
    12. Chris Motengwe & Angel Pardo, 2015. "A Study of Seasonality on the Safex Wheat Market," Agrekon, Taylor & Francis Journals, vol. 54(4), pages 45-72, November.
    13. Karali, Berna & Thurman, Walter N., 2007. "Announcement Effects and the Theory of Storage: An Empirical Study of Lumber Futures," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon 9865, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    14. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series qt1n04g31b, Center for International Economics, UC Santa Cruz.
    15. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
    16. Phan, Hoàng-Long & Zurbruegg, Ralf & Brockman, Paul & Yu, Chia-Feng (Jeffrey), 2022. "Time-to-maturity and commodity futures return volatility: The role of time-varying asymmetric information," Journal of Commodity Markets, Elsevier, vol. 26(C).
    17. Delphine Lautier & Franck Raynaud, 2014. "Information Flows in the term structure of commodity prices," Post-Print hal-01655842, HAL.
    18. Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1989. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 105-116, March.
    19. Nikolaos Milonas & Thomas Henker, 2001. "Price spread and convenience yield behaviour in the international oil market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 23-36.
    20. Liu, 2014. "Do futures prices exhibit maturity effect? A nonparametric revisit," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 813-825, March.
    21. Jaeck, Edouard & Lautier, Delphine, 2016. "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, vol. 59(C), pages 300-313.
    22. Riza Emekter & Benjamas Jirasakuldech & Peter Went, 2012. "Rational speculative bubbles and commodities markets: application of duration dependence test," Applied Financial Economics, Taylor & Francis Journals, vol. 22(7), pages 581-596, April.
    23. Koekebakker, Steen & Lien, Gudbrand D., 2002. "Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24874, European Association of Agricultural Economists.
    24. Herbert, John H, 1995. "Trading volume, maturity and natural gas futures price volatility," Energy Economics, Elsevier, vol. 17(4), pages 293-299, October.
    25. Vigne, Samuel A. & Lucey, Brian M. & O’Connor, Fergal A. & Yarovaya, Larisa, 2017. "The financial economics of white precious metals — A survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 292-308.
    26. N'zue Fofana & B. Wade Brorsen, 2001. "GARCH option pricing with implied volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 8(5), pages 335-340.
    27. Pardo, Angel & Motengwe, Chris, 2016. "A Study of Seasonality on the Safex Wheat Market," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 54(4), March.
    28. Edouard Jaeck & Delphine Lautier, 2014. "Samuelson hypothesis and electricity derivative markets," Post-Print hal-01655800, HAL.
    29. Fouda, Henri & Kryzanowski, Lawrence & Chau To, Minh, 2001. "Futures market equilibrium with heterogeneity and a spot market at harvest," Journal of Economic Dynamics and Control, Elsevier, vol. 25(5), pages 805-824, May.
    30. Delphine Lautier & Yves Simon, 2004. "La volatilité des prix des matières premières," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 45-84.
    31. Ergen, Ibrahim & Rizvanoghlu, Islam, 2016. "Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach," Energy Economics, Elsevier, vol. 56(C), pages 64-74.
    32. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).
    33. Hoang‐Long Phan & Ralf Zurbruegg, 2020. "The time‐to‐maturity pattern of futures price sensitivity to news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 126-144, January.
    34. Loïc Maréchal, 2021. "Do economic variables forecast commodity futures volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1735-1774, November.

  17. Nicholaos T. Milonas & Peter E. Koveos & G. Geoffrey Booth, 1985. "Memory in commodity futures contracts: A comment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(1), pages 113-114, March.

    Cited by:

    1. Assaf, Ata, 2016. "MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008," Research in International Business and Finance, Elsevier, vol. 36(C), pages 222-240.
    2. Assaf, A., 2006. "Dependence and mean reversion in stock prices: The case of the MENA region," Research in International Business and Finance, Elsevier, vol. 20(3), pages 286-304, September.
    3. A. Assaf, 2007. "Fractional integration in the equity markets of MENA region," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 709-723.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.