Commodities and the Market Price of Risk
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References listed on IDEAS
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Citations
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Cited by:
- Cifarelli, Giulio & Paladino, Giovanna, 2010.
"Oil price dynamics and speculation: A multivariate financial approach,"
Energy Economics, Elsevier, vol. 32(2), pages 363-372, March.
- Giulio Cifarelli & Giovanna Paladino, 2008. "Oil price Dynamics and Speculation. A Multivariate Financial Approach," Working Papers - Economics wp2008_15.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Bianconi, Marcelo & Yoshino, Joe A., 2014.
"Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector,"
Energy Economics, Elsevier, vol. 45(C), pages 19-32.
- Marcelo Bianconi & Joe A. Yoshino, 2013. "Risk Factors and Value at Risk in Publicly Trades Companies of the Nonrenewable Energy Sector," Discussion Papers Series, Department of Economics, Tufts University 0773, Department of Economics, Tufts University.
- Roache, Shaun K. & Rossi, Marco, 2010. "The effects of economic news on commodity prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 377-385, August.
- Pagano Patrizio & Pisani Massimiliano, 2009.
"Risk-Adjusted Forecasts of Oil Prices,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-28, June.
- Patrizio Pagano & Massimiliano Pisani, 2006. "Risk-Adjusted Forecasts of Oil Prices," Temi di discussione (Economic working papers) 585, Bank of Italy, Economic Research and International Relations Area.
- Pagano, Patrizio & Pisani, Massimiliano, 2009. "Risk-adjusted forecasts of oil prices," Working Paper Series 999, European Central Bank.
- Mr. Shaun K. Roache & Mr. Marco Rossi, 2009. "The Effects of Economic News on Commodity Prices: Is Gold Just Another Commodity?," IMF Working Papers 2009/140, International Monetary Fund.
- Keith Elliott & Gianluca Marcato, 2011. "Alternative investments: return driving actors," ERES eres2011_151, European Real Estate Society (ERES).
- repec:dau:papers:123456789/6800 is not listed on IDEAS
- Mr. Shaun K. Roache, 2010. "What Explains the Rise in Food Price Volatility?," IMF Working Papers 2010/129, International Monetary Fund.
- Emanuele De Meo, 2013. "Are Commodity Prices Driven by Fundamentals?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(1), pages 19-46, February.
- Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde, 2012. "Volatility persistence in metal returns: A FIGARCH approach," Journal of Economics and Business, Elsevier, vol. 64(4), pages 287-305.
- Mukherjee, Dr. Kedar nath, 2011. "Commodity investments: opportunities for Indian institutional investors," MPRA Paper 33510, University Library of Munich, Germany.
- Shang, Hua & Yuan, Ping & Huang, Lin, 2016. "Macroeconomic factors and the cross-section of commodity futures returns," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 316-332.
- Laszlo Kozar & Laszlo Vasa & Gyorgy Ivan Neszmelyi, 2021. "The Opportunities and Challenges of Combined Use of Futures Commodity Exchange and Public Warehouse in the Crop Sector of Vietnam," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 1260-1286.
- Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George, 2014. "Are there common factors in individual commodity futures returns?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 346-363.
- Dale Roberts & Laura Ryan, 2015. "Evidence of speculation in world oil prices," Australian Journal of Management, Australian School of Business, vol. 40(4), pages 630-651, November.
- Cifarelli, Giulio & Paladino, Giovanna, 2009. "Oil and portfolio risk diversification," MPRA Paper 28293, University Library of Munich, Germany, revised Nov 2010.
- Klomp, Jeroen, 2020. "The impact of Russian sanctions on the return of agricultural commodity futures in the EU," Research in International Business and Finance, Elsevier, vol. 51(C).
- Karlygash Kurlbayeva & Samuel Malone, 2012. "The determinants of extreme commodity prices," OxCarre Working Papers 096, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
- Mo, Di & Gupta, Rakesh & Li, Bin & Singh, Tarlok, 2018. "The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets," Economic Modelling, Elsevier, vol. 70(C), pages 543-560.
- 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.
- Nicholas Apergis & Sofia Eleftheriou & Dimitrios Voliotis, 2017. "Asymmetric Spillover Effects between Agricultural Commodity Prices and Biofuel Energy Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 7(1), pages 166-177.
- Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.
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Keywords
WP; interest rate; risk premium; futures contract;All these keywords.
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