create a website

New evidence on crude oil market efficiency. (2024). Lee, Yoon Jin ; Hu, Liang.
In: Economic Inquiry.
RePEc:bla:ecinqu:v:62:y:2024:i:2:p:892-916.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 60

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Acharya, V.V., Lochstoer, L.A. & Ramadorai, T. (2013) Limits to arbitrage and hedging: evidence from commodity markets. Journal of Financial Economics, 109(2), 441–465. Available from: https://doi.org/10.1016/j.jfineco.2013.03.003.

  2. Adams, Z. & Glück, T. (2015) Financialization in commodity markets: a passing trend or the new normal? Journal of Banking & Finance, 60, 93–111. Available from: https://doi.org/10.1016/j.jbankfin.2015.07.008.

  3. Adams, Z., Collot, S. & Kartsakli, M. (2020) Have commodities become a financial asset? Evidence from ten years of Financialization. Energy Economics, 89, 1–20. Available from: https://doi.org/10.1016/j.eneco.2020.104769.

  4. Adelman, M.A. (1984) International oil agreements. Energy Journal, 5(3), 1–9. Available from: https://doi.org/10.5547/issn0195‐6574‐ej‐vol5‐no3‐1.

  5. Alquist, R. & Kilian, L. (2010) What do we learn from the price of crude oil futures? Journal of Applied Econometrics, 25(4), 539–573. Available from: https://doi.org/10.1002/jae.1159.

  6. Alvarez‐Ramirez, J., Alvarez, J. & Rodriguez, E. (2008) Short‐term predictability of crude oil markets: a detrended fluctuation analysis approach. Energy Economics, 30(5), 2645–2656. Available from: https://doi.org/10.1016/j.eneco.2008.05.006.

  7. Anderson, G. (1996) Nonparametric tests of stochastic dominance in income distributions. Econometrica, 64(5), 1183–1193. Available from: https://doi.org/10.2307/2171961.

  8. Bai, J. & Perron, P. (1998) Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. Available from: https://doi.org/10.2307/2998540.

  9. Barrett, G.F. & Donald, S.G. (2003) Consistent tests for stochastic dominance. Econometrica, 71(1), 71–104. Available from: https://doi.org/10.1111/1468‐0262.00390.

  10. Baumeister, C. & Kilian, L. (2016a) Forty years of oil price fluctuations: why the price of oil may still surprise us. Journal of Economics Perspectives, 30(1), 139–160. Available from: https://doi.org/10.1257/jep.30.1.139.

  11. Baumeister, C. & Kilian, L. (2016b) Understanding the decline in the price of oil since June 2014. Journal of the Association of Environmental and Resource Economists, 3(1), 131–158. Available from: https://doi.org/10.1086/684160.

  12. Büyükşahin, B. & Robe, M. (2014) Speculators, commodities and cross‐market linkages. Journal of International Money and Finance, 42, 38–70. Available from: https://doi.org/10.1016/j.jimonfin.2013.08.004.

  13. Büyükşahin, B., Haigh, M., Harris, J., Overdahl, J. & Robe, M. (2008) Fundamentals, trading activity and derivative pricing. Working Paper, Commodity Futures Trading Commission (CFTC).
    Paper not yet in RePEc: Add citation now

  14. Charles, A. & Darne, D. (2009) Variance‐ratio tests of random walk: an overview. Jornal of Economic Surveys, 23(3), 503–527. Available from: https://doi.org/10.1111/j.1467‐6419.2008.00570.x.

  15. Chkili, W., Hammoudeh, S. & Nguyen, D.K. (2014) Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory. Energy Economics, 41, 1–18. Available from: https://doi.org/10.1016/j.eneco.2013.10.011.

  16. Crowder, W.J. & Hamed, A. (1993) A cointegration test for oil futures market efficiency. Journal of Futures Markets, 13(8), 933–941. Available from: https://doi.org/10.1002/fut.3990130810.

  17. Dardanoni, V. & Forcina, A. (1998) A unified approach to likelihood inference on stochastic orderings in a nonparametric context. Journal of American Statististical Association, 93(443), 1112–1123. Available from: https://doi.org/10.1080/01621459.1998.10473772.
    Paper not yet in RePEc: Add citation now

  18. Dardanoni, V. & Forcina, A. (1999) Inference for Lorenz curve orderings. The Econometrics Journal, 2(1), 49–75. Available from: https://doi.org/10.1111/1368‐423x.00020.

  19. Davidson, R. & Duclos, J.‐Y. (2000) Statistical inference for stochastic dominance and for the measurement of poverty and inequality. Econometrica, 68(6), 1435–1464. Available from: https://doi.org/10.1111/1468‐0262.00167.

  20. Fama, E. (1965) The behavior of stock‐market prices. Journal of Business, 38(1), 34–105. Available from: https://doi.org/10.1086/294743.
    Paper not yet in RePEc: Add citation now

  21. Fattouh, B. (2010) The dynamics of crude oil price differentials. Energy Economics, 32(2), 334–342. Available from: https://doi.org/10.1016/j.eneco.2009.06.007.

  22. Fong, W.M. & See, K.H. (2002) A Markov switching model of the conditional volatility of crude oil futures prices. Energy Economics, 24(1), 71–95. Available from: https://doi.org/10.1016/s0140‐9883(01)00087‐1.

  23. Gibbon, P. (2013) Commodity derivatives: financialization and regulatory reform. DIIS Working Paper, 2013, 12.
    Paper not yet in RePEc: Add citation now

  24. Gurcan Gulen, S. (1999) Regionalization in the world crude oil market: further evidence. Energy Journal, 20, 1–7. Available from: https://doi.org/10.5547/issn0195‐6574‐ej‐vol20‐no1‐7.

  25. Hamilton, J. & Wu, J.C. (2015) Effects of index‐fund investing on commodity futures prices. International Economic Review, 56(1), 187–205. Available from: https://doi.org/10.1111/iere.12099.
    Paper not yet in RePEc: Add citation now

  26. Henderson, B.J., Pearson, N.D. & Wang, L. (2015) New evidence on the financialization of commodity markets. Review of Financial Studies, 28(5), 1285–1311. Available from: https://doi.org/10.1093/rfs/hhu091.

  27. Herrera, A.M., Hu, L. & Pastor, D. (2018) Forecasting crude oil price volatility. International Journal of Forecasting, 34(4), 622–635. Available from: https://doi.org/10.1016/j.ijforecast.2018.04.007.

  28. Hong, Y. & Lee, Y.‐J. (2005) Generalized spectral tests for conditional mean models in time series with conditional heteroscedasticity of unknown form. The Review of Economic Studies, 72(2), 499–541. Available from: https://doi.org/10.1111/j.1467‐937x.2005.00341.x.

  29. Hu, L. & Lee, Y.‐J. (2023) ECIN replication package for “New evidence on crude oil market efficiency”. Ann Arbor: Inter‐university Consortium for Political and Social Research [distributor]. Available from: https://doi.org/10.3886/E193064V2.
    Paper not yet in RePEc: Add citation now
  30. Ji, Q. & Fan, Y. (2015) Dynamic integration of world oil prices: are investigation of globalisation vs. regionalisation. Applied Energy, 155, 171–180. Available from: https://doi.org/10.1016/j.apenergy.2015.05.117.
    Paper not yet in RePEc: Add citation now
  31. Juvenal, L. & Petrella, I. (2012) Speculation in the oil market. Economic Synopses, 8. Federal Reserve Bank of St. Louis. Available from: https://doi.org/10.20955/es.2012.8.
    Paper not yet in RePEc: Add citation now

  32. Kawamoto, K. & Hamori, S. (2011) Market efficiency among futures with different maturities: evidence from the crude oil futures market. Journal of Futures Markets, 31(5), 487–501. Available from: https://doi.org/10.1002/fut.20479.

  33. Klecan, L., McFadden, R. & McFadden, D. (1991) A robust test for stochastic dominance (Working Paper, Department of Economics, MIT).
    Paper not yet in RePEc: Add citation now

  34. Klein, T. (2018) Trends and contagion in WTI and Brent crude oil spot and futures markets ‐ the role of OPEC in the last decade. Energy Economics, 75, 636–646. Available from: https://doi.org/10.1016/j.eneco.2018.09.013.

  35. Klein, T. & Walther, T. (2016) Oil price volatility forecast with mixture memory GARCH. Energy Economics, 58, 46–58. Available from: https://doi.org/10.1016/j.eneco.2016.06.004.

  36. Knittel, C.R. & Pindyck, R.S. (2016) The simple economics of commodity price speculation. American Economic Journal: Macroeconomics, 8(2), 85–110. Available from: https://doi.org/10.1257/mac.20140033.

  37. Lean, H.H., McAleer, M. & Wong, W.‐K. (2010) Market efficiency of oil spot and futures: a mean‐variance and stochastic dominance approach. Energy Economics, 32(5), 979–986. Available from: https://doi.org/10.1016/j.eneco.2010.05.001.

  38. Linton, O., Massoumi, E. & Whang, Y.J. (2005) Consistent testing for stochastic dominance under general sampling schemes. The Review of Economic Studies, 72(3), 735–765. Available from: https://doi.org/10.1111/j.1467‐937x.2005.00350.x.

  39. Lo, A.W. & MacKinlay, C. (1988) Stock prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies, 1, 41–66. Available from: https://doi.org/10.1093/rfs/1.1.41.

  40. Loutia, A., Mellios, C. & Andriosopoulos, K. (2016) Do OPEC announcements influence oil prices? Energy Policy, 90, 262–272. Available from: https://doi.org/10.1016/j.enpol.2015.11.025.

  41. Maslyuk, S. & Smith, R. (2009) Cointegration between oil spot and futures prices of the same and different grades in the presence of structural change. Energy Policy, 37(5), 1687–1693. Available from: https://doi.org/10.1016/j.enpol.2009.01.013.
    Paper not yet in RePEc: Add citation now

  42. Mastroeni, A., Mazzoccoli, A., Quaresima, G. & Velluccid, P. (2021) Decoupling and recoupling in the crude oil price benchmarks: an investigation of similarity patterns. Energy Economics, 94, 105036. Available from: https://doi.org/10.1016/j.eneco.2020.105036.

  43. McFadden, D. (1989) A method of simulated moments for estimation of discrete response models without numerical integration. Econometrica, 57(5), 995–1026. Available from: https://doi.org/10.2307/1913621.

  44. Peroni, E. & McNown, R. (1998) Noninformative and informative tests of efficiency in three energy futures markets. Journal of Futures Markets, 18(8), 939–964. Available from: https://doi.org/10.1002/(sici)1096‐9934(199812)18:8<939::aid‐fut4>3.0.co;2‐4.

  45. Pirrong, S.C. (2011) Commodity price dynamics: a structural approach. Cambridge: Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  46. Priestley, M.B. (1981) Spectral analysis and time series. London: Academic press.
    Paper not yet in RePEc: Add citation now

  47. Quan, J. (1992) Two‐step testing procedure for price discovery role of futures prices. Journal of Futures Markets, 12(2), 139–149. Available from: https://doi.org/10.1002/fut.3990120203.

  48. Reboredo, J.C. (2011) How do crude oil prices co‐move? Energy Economics, 33(5), 948–955. Available from: https://doi.org/10.1016/j.eneco.2011.04.006.

  49. Schwartz, T.V. & Szakmary, A.C. (1994) Price discovery in petroleum markets: arbitrage, cointegration, and the time interval of analysis. Journal of Futures Markets, 14(2), 147–167. Available from: https://doi.org/10.1002/fut.3990140204.

  50. Serletis, A. & Banack, D. (1990) Market efficiency and cointegration: an application to petroleum markets. Review of Futures Markets, 9, 372–385.
    Paper not yet in RePEc: Add citation now

  51. Silvennoinen, A. & Thorp, S. (2013) Financialization, crisis and commodity correlation dynamics. Journal of International Financial Markets, Institutions and Money, 24, 42–65. Available from: https://doi.org/10.1016/j.intfin.2012.11.007.

  52. Singleton, K.J. (2014) Investor flows and the 2008 boom/bust in oil prices. Management Science, 60(2), 300–318. Available from: https://doi.org/10.1287/mnsc.2013.1756.

  53. Sockin, M. & Xiong, W. (2015) Informational frictions and commodity markets. The Journal of Finance, 70(5), 2063–2098. Available from: https://doi.org/10.1111/jofi.12261.

  54. Switzer, N.L. & El‐Khoury, M. (2007) Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets. Journal of Futures Markets, 27(1), 61–84. Available from: https://doi.org/10.1002/fut.20235.

  55. Tabak, B. & Cajueiro, D. (2007) Are the crude oil markets becoming weakly efficient over time? A test for time‐varying long‐range dependence in prices and volatility. Energy Economics, 29(1), 28–36. Available from: https://doi.org/10.1016/j.eneco.2006.06.007.

  56. Tang, K. & Xiong, W. (2012) Index investment and the financialization of commodities. Financial Analysis Journal, 68(6), 54–74. Available from: https://doi.org/10.2469/faj.v68.n6.5.
    Paper not yet in RePEc: Add citation now

  57. Wang, M. & Liu, C. (2010) Is WTI crude oil market becoming weakly efficient over time? New evidence from multiscale analysis based on detrended fluctuation analysis. Energy Economics, 32(5), 987–992. Available from: https://doi.org/10.1016/j.eneco.2009.12.001.

  58. Weiner, R.J. (1991) Is the world oil market “one great pool”? Energy Journal, 12(3), 95–107. Available from: https://doi.org/10.5547/issn0195‐6574‐ej‐vol12‐no3‐7.

  59. Zhang, B. (2013) Are the crude oil markets becoming more efficient over time? New evidence from a generalized spectral test. Energy Economics, 40, 875–881. Available from: https://doi.org/10.1016/j.eneco.2013.10.012.

  60. Zhang, Y.‐J., Chevallier, J. & Guesmi, K. (2017) “De‐financialization” of commodities? Evidence from stock, crude oil and natural gas markets. Energy Economics, 68, 228–239. Available from: https://doi.org/10.1016/j.eneco.2017.09.024.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Commodity Prices In Empirical Research. (2019). Carpantier, Jean-François.
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:2020021.

    Full description at Econpapers || Download paper

  2. Nonlinear Intermediary Pricing in the Oil Futures Market. (2018). Rieth, Malte ; Bierbaumer, Daniel ; Velinov, Anton.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1722.

    Full description at Econpapers || Download paper

  3. Analyzing the structural transformation of commodity markets: financialization revisited. (2018). Natoli, Filippo.
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_419_18.

    Full description at Econpapers || Download paper

  4. Expected Spot Prices and the Dynamics of Commodity Risk Premia. (2017). Piana, Jacopo ; Bianchi, Daniele.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:1149.

    Full description at Econpapers || Download paper

  5. Financialisation and the Term Structure of Commodity Risk Premiums. (2017). Stenner, Nick ; Hambur, Jonathan.
    In: RBA Research Discussion Papers.
    RePEc:rba:rbardp:rdp2017-03.

    Full description at Econpapers || Download paper

  6. Financialization of metal markets: Does futures trading influence spot prices and volatility?. (2017). Wanner, Markus ; Mayer, Herbert ; Rathgeber, Andreas.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:53:y:2017:i:c:p:300-316.

    Full description at Econpapers || Download paper

  7. Stockpiling cash when it takes time to build: Exploring price differentials in a commodity boom. (2017). Wagner, Rodrigo ; Hansen, Erwin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:77:y:2017:i:c:p:197-212.

    Full description at Econpapers || Download paper

  8. Predictability and diversification benefits of investing in commodity and currency futures. (2017). Potì, Valerio ; Eyiah-Donkor, Emmanuel ; cotter, john ; Poti, Valerio.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

    Full description at Econpapers || Download paper

  9. Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility. (2017). Rieth, Malte ; Hachula, Michael.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1646.

    Full description at Econpapers || Download paper

  10. An equilibrium model for spot and forward prices of commodities. (2017). Anthropelos, Michail ; Kupper, Michael ; Papapantoleon, Antonis.
    In: Papers.
    RePEc:arx:papers:1502.00674.

    Full description at Econpapers || Download paper

  11. The relationship between distance-to-default and CDS spreads as measures of default risk for European banks. (2016). Ristolainen, Kim.
    In: Journal of Banking and Financial Economics.
    RePEc:sgm:jbfeuw:v:1:y:2016:i:5:p:121-143.

    Full description at Econpapers || Download paper

  12. Hedging, arbitrage and the financialization of commodities markets. (2016). tropeano, domenica.
    In: Working Papers.
    RePEc:mcr:wpdief:wpaper00082.

    Full description at Econpapers || Download paper

  13. Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil. (2016). Byun, Sung Je.
    In: Occasional Papers.
    RePEc:fip:feddop:2016_003.

    Full description at Econpapers || Download paper

  14. The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies. (2016). Zimmermann, Yvonne Seiler ; Haase, Marco.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:3:y:2016:i:1:p:1-15.

    Full description at Econpapers || Download paper

  15. Volatility risk premia and exchange rate predictability. (2016). Sarno, Lucio ; Ramadorai, Tarun ; della Corte, Pasquale.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:120:y:2016:i:1:p:21-40.

    Full description at Econpapers || Download paper

  16. The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36.

    Full description at Econpapers || Download paper

  17. The effects of margin changes on commodity futures markets. (2016). Skiadopoulos, George ; Daskalaki, Charoula.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:22:y:2016:i:c:p:129-152.

    Full description at Econpapers || Download paper

  18. Psychological barriers in oil futures markets. (2016). lucey, brian ; Dowling, Michael ; Cummins, Mark.
    In: Energy Economics.
    RePEc:eee:eneeco:v:53:y:2016:i:c:p:293-304.

    Full description at Econpapers || Download paper

  19. A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil. (2016). Kilian, Lutz ; Baumeister, Christiane.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5782.

    Full description at Econpapers || Download paper

  20. A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil. (2016). Kilian, Lutz ; Baumeister, Christiane.
    In: Staff Working Papers.
    RePEc:bca:bocawp:16-18.

    Full description at Econpapers || Download paper

  21. Optimal Storage Capacity Allocation in Grain Merchandizing. (2016). Vorotnikova, Ekaterina.
    In: 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas.
    RePEc:ags:saea16:230128.

    Full description at Econpapers || Download paper

  22. The relationship between distance-to-default and CDS spreads as measures of default risk for European banks. (2015). Ristolainen, Kim.
    In: Discussion Papers.
    RePEc:tkk:dpaper:dp102.

    Full description at Econpapers || Download paper

  23. Commodity derivative valuation under a factor model with time-varying market prices of risk. (2015). Poblacion, Javier ; Serna, Gregorio ; Mirantes, Andres .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:18:y:2015:i:1:p:75-93.

    Full description at Econpapers || Download paper

  24. Multinationals Stockpiling Cash: Exploring a Commodity Boom. (2015). Wagner, Rodrigo ; Hansen, Erwin.
    In: IDB Publications (Working Papers).
    RePEc:idb:brikps:89920.

    Full description at Econpapers || Download paper

  25. Multinationals Stockpiling Cash: Exploring a Commodity Boom. (2015). Wagner, Rodrigo ; Hansen, Erwin.
    In: IDB Publications (Working Papers).
    RePEc:idb:brikps:7006.

    Full description at Econpapers || Download paper

  26. Robustness of distance-to-default. (2015). Lando, David ; Jessen, Cathrine .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:50:y:2015:i:c:p:493-505.

    Full description at Econpapers || Download paper

  27. A dynamic model of hedging and speculation in the commodity futures markets. (2015). Paladino, Giovanna ; Cifarelli, Giulio.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:25:y:2015:i:c:p:1-15.

    Full description at Econpapers || Download paper

  28. Sentiment in oil markets. (2015). Deeney, Peter ; Dowling, Michael ; Cummins, Mark ; Bermingham, Adam .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:39:y:2015:i:c:p:179-185.

    Full description at Econpapers || Download paper

  29. Market sentiment in commodity futures returns. (2015). Suss, Stephan ; Gao, Lin.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:84-103.

    Full description at Econpapers || Download paper

  30. A general approach to recovering market expectations from futures prices with an application to crude oil. (2014). Kilian, Lutz ; Baumeister, Christiane.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:466.

    Full description at Econpapers || Download paper

  31. Sorting out commodity and macroeconomic risk in expected stock returns. (2014). Boons, M. F..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:1ebdac58-bf37-499d-8835-1ba1e8153940.

    Full description at Econpapers || Download paper

  32. Commodity Risk Factors and the Cross-Section of Equity Returns. (2014). Brooks, Chris ; Nneji, Ogonna ; Miffre, Joelle ; Fernandez-Perez, Adrian.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2014-09.

    Full description at Econpapers || Download paper

  33. The Effects of Margin Changes on Commodity Futures Markets. (2014). Skiadopoulos, George ; Daskalaki, Charoula.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp736.

    Full description at Econpapers || Download paper

  34. Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2014). le Pen, Yannick ; Chevallier, Julien ; Bunn, Derek ; Sevi, Benoit.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-414.

    Full description at Econpapers || Download paper

  35. Risk premia in crude oil futures prices. (2014). Wu, Jing Cynthia ; Hamilton, James.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:42:y:2014:i:c:p:9-37.

    Full description at Econpapers || Download paper

  36. Speculators, commodities and cross-market linkages. (2014). Robe, Michel ; Buyuksahin, Bahattin ; Buyukahin, Bahattin.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:42:y:2014:i:c:p:38-70.

    Full description at Econpapers || Download paper

  37. Are there common factors in individual commodity futures returns?. (2014). Skiadopoulos, George ; KOSTAKIS, ALEXANDROS ; Daskalaki, Charoula.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:346-363.

    Full description at Econpapers || Download paper

  38. Commodity index trading and hedging costs. (2014). Brunetti, Celso ; Reiffen, David.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:21:y:2014:i:c:p:153-180.

    Full description at Econpapers || Download paper

  39. Energy futures prices and commodity index investment: New evidence from firm-level position data. (2014). Irwin, Scott ; Sanders, Dwight R..
    In: Energy Economics.
    RePEc:eee:eneeco:v:46:y:2014:i:s1:p:s57-s68.

    Full description at Econpapers || Download paper

  40. Price discrimination and limits to arbitrage: An analysis of global LNG markets. (2014). Ritz, Robert.
    In: Energy Economics.
    RePEc:eee:eneeco:v:45:y:2014:i:c:p:324-332.

    Full description at Econpapers || Download paper

  41. A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil. (2014). Kilian, Lutz ; Baumeister, Christiane.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10162.

    Full description at Econpapers || Download paper

  42. Financialization of Commodity Markets. (2014). Cheng, Ing-Haw ; Xiong, Wei.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:6:y:2014:p:419-441.

    Full description at Econpapers || Download paper

  43. Oil Volatility Risk and Expected Stock Returns. (2014). Pan, Xuhui ; Christoffersen, Peter.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-06.

    Full description at Econpapers || Download paper

  44. COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW. (2013). Prokopczuk, Marcel ; Back, Janis.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:16:y:2013:i:06:n:s0219024913500325.

    Full description at Econpapers || Download paper

  45. Futures trading and the excess comovement of commodity prices. (2013). Sévi, Benoît ; le Pen, Yannick ; Sevi, Benoit.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-19.

    Full description at Econpapers || Download paper

  46. Futures trading and the excess comovement of commodity prices. (2013). le Pen, Yannick ; Sevi, Benoit.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-019.

    Full description at Econpapers || Download paper

  47. Futures trading and the excess comovement of commodity prices. (2013). le Pen, Yannick ; Sevi, Benoit.
    In: Working Papers.
    RePEc:ipg:wpaper:19.

    Full description at Econpapers || Download paper

  48. Monetary policy surprises, positions of traders, and changes in commodity futures prices. (2013). Gospodinov, Nikolay ; Jamali, Ibrahim.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2013-12.

    Full description at Econpapers || Download paper

  49. Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2013). le Pen, Yannick ; Chevallier, Julien ; Bunn, Derek ; Sevi, Benoit.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/11692.

    Full description at Econpapers || Download paper

  50. Volatility Risk Premia and Exchange Rate Predictability. (2013). Sarno, Lucio ; Ramadorai, Tarun ; della Corte, Pasquale.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9549.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-21 17:31:06 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.