This document has not been cited yet.

1. Anderson, L. Markov models for commodity futures: theory and practice. 2010 Quant. Finance. 10 831-854
   Paper not yet in RePEc: Add citation now
   

2. Arismendi, J.C. ; Back, J. ; Prokopczuk, M. ; Paschke, R. ; Rudolf, M. Seasonal stochastic volatility: Implications for the pricing of commodity options. 2016 J. Bank. Financ.. 66 53-65

3. Back, J. ; Prokopczuk, M. ; Rudolf, M. Seasonality and the valuation of commodity options. 2013 J. Bank. Financ.. 37 273-290

4. Bakshi, G. ; Cao, C. ; Chen, Z. Empirical performance of alternative option pricing models. 1997 J. Finance. 52 2003-2049

5. Barone-Adesi, G. ; Whaley, R.E. Efficient analytic approximation of American option values. 1987 J. Finance. 42 301-320

6. Black, F. The pricing of commodity contracts. 1976 J. Financ. Econ.. 3 167-179

7. Britten-Jones, M. ; Neuberger, A. Option prices, implied price processes, and stochastic volatility. 2000 J. Finance. 55 839-866

8. Brooks, R. ; Teterin, P. Samuelson hypothesis, arbitrage activity, and futures term premiums. 2020 J. Futures Mark.. 40 1420-1441

9. Caporin, M. ; Fontini, F. The long-run oil–natural gas price relationship and the shale gas revolution. 2017 Energy Econ.. 64 511-519
   Paper not yet in RePEc: Add citation now
   

10. Carr, P. ; Wu, L. Variance risk premiums. 2009 Rev. Financ. Stud.. 22 1311-1341

11. Chiang, I.H.E. ; Hughen, W.K. ; Sagi, J.S. Estimating oil risk factors using information from equity and derivatives markets. 2015 J. Finance. 70 769-804

12. Chiarella, C. ; Kang, B. ; Nikitopoulos, C.S. ; Tô, T.D. Humps in the volatility structure of the crude oil futures market: New evidence. 2013 Energy Econ.. 40 989-1000

13. Christoffersen, P. ; Heston, S. ; Jacobs, K. The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well. 2009 Manage. Sci.. 55 1914-1932

14. Cortazar, G. ; Gutierrez, S. ; Ortega, H. Empirical performance of commodity pricing models: when is it worthwhile to use a stochastic volatility specification?. 2016 J. Futures Mark.. 36 457-487

15. Cortazar, G. ; Kovacevic, I. ; Schwartz, E.S. Expected commodity returns and pricing models. 2015 Energy Econ.. 49 60-71

16. Cortazar, G. ; Lopez, M. ; Naranjo, L. A multifactor stochastic volatility model of commodity prices. 2017 Energy Econ.. 67 182-201

17. Cortazar, G. ; Millard, C. ; Ortega, H. ; Schwartz, E.S. Commodity price forecasts, futures prices, and pricing models. 2019 Manage. Sci.. 65 4141-4155
    Paper not yet in RePEc: Add citation now
    

18. Cortazar, G. ; Naranjo, L. An N-factor Gaussian model of oil futures prices. 2006 J. Futures Mark.. 26 243-268

19. Coval, J.D. ; Shumway, T. Expected option returns. 2001 J. Finance. 56 983-1009

20. Cremers, M. ; Halling, M. ; Weinbaum, D. Aggregate jump and volatility risk in the cross-section of stock returns. 2015 J. Finance. 70 577-614

21. Demeterfi, K. ; Derman, E. ; Kamal, M. ; Zou, J. A guide to volatility and variance swaps. 1999 J. Deriv.. 6 9-32
    Paper not yet in RePEc: Add citation now
    

22. Dew-Becker, I. ; Giglio, S. ; Kelly, B. Hedging macroeconomic and financial uncertainty and volatility. 2021 J. Financ. Econ.. 142 23-45

23. Diebold, F.X. ; Mariano, R.S. Comparing predictive accuracy. 1995 J. Bus. Econom. Statist.. 13 253-263

24. Duyvesteyn, J. ; de Zwart, G. Riding the swaption curve. 2015 J. Bank. Financ.. 59 57-75

25. Egloff, D. ; Leippold, M. ; Wu, L. The term structure of variance swap rates and optimal variance swap investments. 2010 J. Financ. Quant. Anal.. 45 1279-1310

26. Ewald, C. ; Haugom, E. ; Lien, G. ; Størdal, S. ; Wu, Y. Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?. 2022 Energy Econ.. 115 -

27. Ewald, C. ; Zou, Y. Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?. 2021 European J. Oper. Res.. 294 801-815

28. Fan, R. ; Gupta, A. ; Ritchken, P. Hedging in the possible presence of unspanned stochastic volatility: Evidence from swaption markets. 2003 J. Finance. 58 2219-2248

29. Feng, G.F. ; Wang, Q.J. ; Chu, Y. ; Wen, J. ; Chang, C.P. Does the shale gas boom change the natural gas price-production relationship? Evidence from the US market. 2021 Energy Econ.. 93 -

30. Gatfaoui, H. Linking the gas and oil markets with the stock market: Investigating the US relationship. 2016 Energy Econ.. 53 5-16

31. Gibson, R. ; Schwartz, E.S. Stochastic convenience yield and the pricing of oil contingent claims. 1990 J. Finance. 45 959-976

32. Hahn, W.J. ; DiLellio, J.A. ; Dyer, J.S. Risk premia in commodity price forecasts and their impact on valuation. 2018 Energy Econ.. 72 393-403

33. Heston, S. A closed-form solution for options with stochastic volatility with applications to bond and currency options. 1993 Rev. Financ. Stud.. 6 327-343

34. Hollstein, F. ; Prokopczuk, M. ; Würsig, C. Volatility term structures in commodity markets. 2020 J. Futures Mark.. 40 527-555

35. Jiang, G.J. ; Tian, Y.S. The model-free implied volatility and its information content. 2005 Rev. Financ. Stud.. 18 1305-1342

36. Kang, B. ; Nikitopoulos, C.S. ; Prokopczuk, M. Economic determinants of oil futures volatility: A term structure perspective. 2020 Energy Econ.. 88 -

37. Modjtahedi, B. ; Movassagh, N. Natural-gas futures: Bias, predictive performance, and the theory of storage. 2005 Energy Econ.. 27 617-637

38. Mu, X. Weather, storage, and natural gas price dynamics: Fundamentals and volatility. 2007 Energy Econ.. 29 46-63

39. Nelson, C.R. ; Siegel, A.F. Parsimonious modeling of yield curves. 1987 J. Bus.. 473-489

40. Prokopczuk, M. ; Simen, C.W. The importance of the volatility risk premium for volatility forecasting. 2014 J. Bank. Financ.. 40 303-320

41. Prokopczuk, M. ; Symeonidis, L. ; Simen, C.W. Variance risk in commodity markets. 2017 J. Bank. Financ.. 81 136-149

42. Schwartz, E.S. ; Smith, J. Short-term variations and long-term dynamics in commodity prices. 2000 Manage. Sci.. 46 893-911

43. Størdal, S. ; Ewald, C. ; Lien, G. ; Haugom, E. Trading time seasonality in electricity futures. 2023 J. Commod. Mark.. 31 -

44. Suenaga, H. ; Smith, A. ; Williams, J. Volatility dynamics of NYMEX natural gas futures prices. 2008 J. Futures Mark.: Futures Options Other Deriv. Prod.. 28 438-463

45. Tee, C.W. ; Ting, C. Variance risk premiums of commodity ETFs. 2017 J. Futures Mark.. 37 452-472

46. Trolle, A.B. ; Schwartz, E.S. Unspanned stochastic volatility and the pricing of commodity derivatives. 2009 Rev. Financ. Stud.. 22 4423-4461

47. Trolle, A.B. ; Schwartz, E.S. Variance risk premia in energy commodities. 2010 J. Deriv.. 17 15-32
    Paper not yet in RePEc: Add citation now
    

1. Analytical computation of conditional moments in the extended Cox–Ingersoll–Ross process with regime switching: Hybrid PDE system solutions with financial applications. (2025). Thamrongrat, Nopporn ; Rujivan, Sanae ; Djehiche, Boualem ; Juntanon, Parun.
   In: Mathematics and Computers in Simulation (MATCOM).
   RePEc:eee:matcom:v:229:y:2025:i:c:p:176-202.

   Full description at Econpapers || Download paper

2. Can factoring business alleviate the seasonal impact on agricultural supply chain enterprises?. (2025). Yan, Kai ; Yao, Dingjun.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008238.

   Full description at Econpapers || Download paper

3. Risky times: Seasonality and event risk of commodities. (2024). Boos, Dominik.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:44:y:2024:i:5:p:767-783.

   Full description at Econpapers || Download paper

4. Seasonality in commodity prices: new approaches for pricing plain vanilla options. (2024). Fanelli, Viviana ; Frau, Carme.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05128-x.

   Full description at Econpapers || Download paper

5. Seasonal volatility in agricultural markets: modelling and empirical investigations. (2024). Schneider, L ; Tavin, B.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04241-7.

   Full description at Econpapers || Download paper

6. Market uncertainty and information content in complex seasonality of prices. (2024). Li, Zhongfei ; Ji, Yuqiong ; Tang, Wenjin ; Bu, Hui.
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001811.

   Full description at Econpapers || Download paper

7. Variance dynamics and term structure of the natural gas market. (2024). Wei, Xinyang ; Bhar, Ramaprasad ; Sheng, NI ; Colwell, David B ; Shao, Chengwu.
   In: Energy Economics.
   RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004882.

   Full description at Econpapers || Download paper

8. The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Nikitopoulos, Christina Sklibosios ; Thomas, Alice Carole.
   In: Journal of Commodity Markets.
   RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

   Full description at Econpapers || Download paper

9. Forecasting volatility in commodity markets with long-memory models. (2022). Nikitopoulos-Sklibosios, Christina ; Alfeus, Mesias.
   In: Journal of Commodity Markets.
   RePEc:eee:jocoma:v:28:y:2022:i:c:s240585132200006x.

   Full description at Econpapers || Download paper

10. Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?. (2022). Ewald, Christian-Oliver ; Wu, Yuexiang ; Stordal, Stle ; Lien, Gudbrand ; Haugom, Erik.
    In: Energy Economics.
    RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004534.

    Full description at Econpapers || Download paper

11. The market price of risk for delivery periods: Pricing swaps and options in electricity markets. (2022). Schmeck, Maren Diane ; Kemper, Annika ; Kh, Anna.
    In: Energy Economics.
    RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003668.

    Full description at Econpapers || Download paper

12. Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models. (2022). Wong, Patrick ; Ignatieva, Katja.
    In: Energy Economics.
    RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000561.

    Full description at Econpapers || Download paper

13. The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2022). Schmeck, Maren D ; Kemper, Annika ; Kh, Anna.
    In: Papers.
    RePEc:arx:papers:2002.07561.

    Full description at Econpapers || Download paper

14. Asymmetric volatility in commodity markets. (2021). Mu, Xiaoyi ; Chen, Yu-Fu.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300167.

    Full description at Econpapers || Download paper

15. International stochastic discount factors and covariance risk. (2021). Branger, Nicole ; Herold, Michael ; Muck, Matthias.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

    Full description at Econpapers || Download paper

16. Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2021). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco.
    In: Energy Economics.
    RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303467.

    Full description at Econpapers || Download paper

17. Extending the Heston Model to Forecast Motor Vehicle Collision Rates. (2021). Fountas, Grigorios ; Shannon, Darren.
    In: Papers.
    RePEc:arx:papers:2104.11461.

    Full description at Econpapers || Download paper

18. Curve momentum. (2020). Prokopczuk, Marcel ; Paschke, Raphael ; Simen, Chardin Wese.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426619302912.

    Full description at Econpapers || Download paper

19. The economic importance of rare earth elements volatility forecasts. (2020). Seiler, Volker ; Proelss, Juliane ; Schweizer, Denis.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306148.

    Full description at Econpapers || Download paper

20. Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda.
    In: Energy Economics.
    RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827.

    Full description at Econpapers || Download paper

21. Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield. (2020). Ma, Zonggang ; Wu, Zhijian.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302496.

    Full description at Econpapers || Download paper

22. The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2020). Mitzel, Norbert W ; Gronde, Ingo.
    In: Center for Mathematical Economics Working Papers.
    RePEc:bie:wpaper:635.

    Full description at Econpapers || Download paper

23. Long-term swings and seasonality in energy markets. (2019). Novales, Alfonso ; Moreno, Manuel ; Platania, Federico.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:279:y:2019:i:3:p:1011-1023.

    Full description at Econpapers || Download paper

24. Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco.
    In: Center for Mathematical Economics Working Papers.
    RePEc:bie:wpaper:625.

    Full description at Econpapers || Download paper

25. Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco.
    In: Papers.
    RePEc:arx:papers:1910.01044.

    Full description at Econpapers || Download paper

26. Global Macroeconomic Determinants of the Domestic Commodity Derivatives. (2018). Bayramoglu, Mehmet Fatih ; Basarir, Cagatay.
    In: Contributions to Economics.
    RePEc:spr:conchp:978-3-319-78494-6_16.

    Full description at Econpapers || Download paper

27. Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance. (2018). Prokopczuk, Marcel ; Ronn, Ehud I ; Roncoroni, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:95:y:2018:i:c:p:1-4.

    Full description at Econpapers || Download paper

28. Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets. (2018). Schneider, Lorenz ; Tavin, Bertrand.
    In: Papers.
    RePEc:arx:papers:1802.01393.

    Full description at Econpapers || Download paper

29. The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Chen, Ting-Fu ; Lin, Shih-Kuei ; Hsu, Chih-Chen.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

    Full description at Econpapers || Download paper

Report date: 2025-10-01 10:30:12 || Missing content? Let us know