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Volatility and commodity price dynamics
14 references·16 citing·40 second hop
Volatility and commodity price dynamics (2004)Volatility and commodity price dynamicsHave Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…Equilibrium Forward Curves for Commodities (2000)Equilibrium Forward Curves fo…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyStorage and Commodity Markets. (1992)Storage and Commodity Markets.Storage and Commodity Markets (1991)Storage and Commodity MarketsNonconvex Costs and the Behavior of Inventories (1991)Nonconvex Costs and the Behav…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Seasonality, Cost Shocks, and the Production Smoothing Model of Inventories (1988)Seasonality, Cost Shocks, and…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Orange Juice and Weather (1984)Orange Juice and WeatherCommodity Price Volatility and the Economic Uncertainty of Pandemics (2020)Commodity Price Volatility an…The Simple Economics of Commodity Price Speculation (2016)The Simple Economics of Commo…Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context (2015)Does the carbon market help o…Which precious metals spill over on which, when and why? Some evidence (2014)Which precious metals spill o…Macro determinants of volatility and volatility spillover in energy markets (2014)Macro determinants of volatil…Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2011)Forecasting the conditional v…Market integration among electricity markets and their major fuel source markets (2009)Market integration among elec…Jump dynamics and volatility: Oil and the stock markets (2009)Jump dynamics and volatility:…Forward curves, scarcity and price volatility in oil and natural gas markets (2009)Forward curves, scarcity and …Energy prices, volatility, and the stock market: Evidence from the Eurozone (2009)Energy prices, volatility, an…Oil price dynamics (2002–2006) (2008)Oil price dynamics (2002–2006)Modelling oil price volatility (2007)Modelling oil price volatilityWeather, storage, and natural gas price dynamics: Fundamentals and volatility (2006)Weather, storage, and natural…Geometric Brownian Motion and structural breaks in oil prices: A quantitative analysis (2006)Geometric Brownian Motion and…Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases (2005)Oil price volatility and the …VOLATILITY IN NATURAL GAS AND OIL MARKETS (2003)VOLATILITY IN NATURAL GAS AND…Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Stock returns and the weekend effect (1980)When financial markets work too well: A cautious case for a securities transactions tax (1989)Combinatorial Information Market Design (2003)CO2 Prices, Energy and Weather (2007)A Theory of the Term Structure of Interest Rates (1985)Evaluating Natural Resource Investments (1985)Oil Price Uncertainty (2010)What do we learn from the price of crude oil futures? (2010)Financialization of Commodity Markets (2013)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)An equilibrium characterization of the term structure (1977)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)The Fundamentals of Commodity Futures Returns (2012)An Intertemporal General Equilibrium Model of Asset Prices (1985)Forecasting, Structural Time Series Models and the Kalman Filter (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Presidential Address: Discount Rates (2011)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Projection methods for solving aggregate growth models (1992)Can Exchange Rates Forecast Commodity Prices? * (2010)Capital markets research in accounting (2001)
this work references cited by second hop

References

  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices1,098 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 1992Storage and Commodity Markets.673 cited
  • 1984Orange Juice and Weather540 cited
  • 2000Equilibrium Forward Curves for Commodities475 cited
  • 1991Storage and Commodity Markets416 cited
  • 1991Nonconvex Costs and the Behavior of Inventories219 cited
  • 1988Seasonality, Cost Shocks, and the Production Smoothing Model of Inventories132 cited

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  • 2020Commodity Price Volatility and the Economic Uncertainty of Pandemics287 cited

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2007
Modelling oil price volatility
281 cited
  • 2009Energy prices, volatility, and the stock market: Evidence from the Eurozone238 cited
  • 2006Weather, storage, and natural gas price dynamics: Fundamentals and volatility196 cited
  • 2005Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases194 cited
  • 2009Jump dynamics and volatility: Oil and the stock markets184 cited
  • 2003VOLATILITY IN NATURAL GAS AND OIL MARKETS177 cited
  • 2006Geometric Brownian Motion and structural breaks in oil prices: A quantitative analysis172 cited
  • 2016The Simple Economics of Commodity Price Speculation164 cited
  • 2014Macro determinants of volatility and volatility spillover in energy markets163 cited
  • 2011Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models161 cited
  • 2008Oil price dynamics (2002–2006)148 cited
  • 2009Forward curves, scarcity and price volatility in oil and natural gas markets143 cited
  • 2009Market integration among electricity markets and their major fuel source markets140 cited
  • 2015Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context139 cited
  • 2014Which precious metals spill over on which, when and why? Some evidence123 cited