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There are 12453 results for: content related to: An N -factor Gaussian model of oil futures prices

  1. A multicommodity model of futures prices: Using futures prices of one commodity to estimate the stochastic process of another

    Journal of Futures Markets

    Volume 28, Issue 6, June 2008, Pages: 537–560, Gonzalo Cortazar, Carlos Milla and Felipe Severino

    Article first published online : 2 APR 2008, DOI: 10.1002/fut.20322

  2. An analysis of the relationship between electricity and natural-gas futures prices

    Journal of Futures Markets

    Volume 22, Issue 2, February 2002, Pages: 95–122, Gary W. Emery and Qingfeng (Wilson) Liu

    Article first published online : 11 DEC 2001, DOI: 10.1002/fut.2209

  3. Hedging long-term commodity risk

    Journal of Futures Markets

    Volume 23, Issue 2, February 2003, Pages: 109–133, Yulia V. Veld-Merkoulova and Frans A. de Roon

    Article first published online : 19 DEC 2002, DOI: 10.1002/fut.10060

  4. Modeling seasonality in agricultural commodity futures

    Journal of Futures Markets

    Volume 22, Issue 5, May 2002, Pages: 393–426, Carsten Sørensen

    Article first published online : 7 MAR 2002, DOI: 10.1002/fut.10017

  5. Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets

    Journal of Futures Markets

    Volume 27, Issue 1, January 2007, Pages: 61–84, Lorne N. Switzer and Mario El-Khoury

    Article first published online : 10 NOV 2006, DOI: 10.1002/fut.20235

  6. The pricing of electricity futures: Evidence from the European energy exchange

    Journal of Futures Markets

    Volume 27, Issue 4, April 2007, Pages: 387–410, Sascha Wilkens and Jens Wimschulte

    Article first published online : 13 FEB 2007, DOI: 10.1002/fut.20246

  7. The Stochastic Seasonal Behaviour of Natural Gas Prices

    European Financial Management

    Volume 18, Issue 3, June 2012, Pages: 410–443, Andrés García Mirantes, Javier Población and Gregorio Serna

    Article first published online : 28 FEB 2010, DOI: 10.1111/j.1468-036X.2009.00533.x

  8. A cointegrated commodity pricing model

    Journal of Futures Markets

    Volume 32, Issue 11, November 2012, Pages: 995–1033, Katsushi Nakajima and Kazuhiko Ohashi

    Article first published online : 11 NOV 2011, DOI: 10.1002/fut.20553

  9. Drift matters: An analysis of commodity derivatives

    Journal of Futures Markets

    Volume 25, Issue 3, March 2005, Pages: 211–241, Olaf Korn

    Article first published online : 11 JAN 2005, DOI: 10.1002/fut.20139

  10. The Return–Volatility Relation in Commodity Futures Markets

    Journal of Futures Markets

    Carl Chiarella, Boda Kang, Christina Sklibosios Nikitopoulos and Thuy-Duong Tô

    Article first published online : 12 MAR 2015, DOI: 10.1002/fut.21717

  11. Time-varying market price of risk in the crude oil futures market

    Journal of Futures Markets

    Volume 31, Issue 8, August 2011, Pages: 779–807, Ramaprasad Bhar and Damien Lee

    Article first published online : 18 OCT 2010, DOI: 10.1002/fut.20493

  12. The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging

    The Journal of Finance

    Volume 52, Issue 3, July 1997, Pages: 923–973, EDUARDO S. SCHWARTZ

    Article first published online : 18 APR 2012, DOI: 10.1111/j.1540-6261.1997.tb02721.x

  13. What do we learn from the price of crude oil futures?

    Journal of Applied Econometrics

    Volume 25, Issue 4, June/July 2010, Pages: 539–573, Ron Alquist and Lutz Kilian

    Article first published online : 24 FEB 2010, DOI: 10.1002/jae.1159

  14. Price relations among hog, corn, and soybean meal futures

    Journal of Futures Markets

    Volume 25, Issue 5, May 2005, Pages: 491–514, Qingfeng “Wilson” Liu

    Article first published online : 16 MAR 2005, DOI: 10.1002/fut.20145

  15. Estimation and hedging effectiveness of time-varying hedge ratio: Flexible bivariate garch approaches

    Journal of Futures Markets

    Volume 30, Issue 1, January 2010, Pages: 71–99, Sung Yong Park and Sang Young Jei

    Article first published online : 21 JUL 2009, DOI: 10.1002/fut.20401

  16. The economic value of volatility transmission between the stock and bond markets

    Journal of Futures Markets

    Volume 28, Issue 11, November 2008, Pages: 1066–1094, Helena Chuliá and Hipòlit Torró

    Article first published online : 9 SEP 2008, DOI: 10.1002/fut.20342

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    EFFECTS OF INDEX-FUND INVESTING ON COMMODITY FUTURES PRICES

    International Economic Review

    Volume 56, Issue 1, February 2015, Pages: 187–205, James D. Hamilton and Jing Cynthia Wu

    Article first published online : 23 JAN 2015, DOI: 10.1111/iere.12099

  18. Bias and backwardation in natural gas futures prices

    Journal of Futures Markets

    Volume 25, Issue 3, March 2005, Pages: 281–308, Nahid Movassagh and Bagher Modjtahedi

    Article first published online : 11 JAN 2005, DOI: 10.1002/fut.20151

  19. Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry

    Journal of Futures Markets

    Volume 29, Issue 8, August 2009, Pages: 736–756, Mark Bertus, Jonathan Godbey and Jimmy E. Hilliard

    Article first published online : 11 JUN 2009, DOI: 10.1002/fut.20379

  20. Energy shocks and financial markets

    Journal of Futures Markets

    Volume 16, Issue 1, February 1996, Pages: 1–27, Roger D. Huang, Ronald W. Masulis and Hans R. Stoll

    Article first published online : 7 DEC 1998, DOI: 10.1002/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q