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The Return–Volatility Relation in Commodity Futures Markets
16 references·1 citing·42 second hop
The Return–Volatility Relation in Commodity Futures Markets (2015)The Return–Volatility Relation in Commodi…Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is gold a safe haven or a hed…The Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Dynamics of Commodity Spo…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…No news is good news (1992)No news is good newsBond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…The pricing of commodity contracts (1976)The pricing of commodity cont…Speculation and Economic Stability (1939)Speculation and Economic Stab…On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis (2022)On the stylized facts of prec…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)An equilibrium characterization of the term structure (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)A long memory property of stock market returns and a new model (1993)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)
this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 1992No news is good news1,929 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1939Speculation and Economic Stability913 cited
  • 2012The Fundamentals of Commodity Futures Returns760 cited
  • 2001The Dynamics of Commodity Spot and Futures Markets: A Primer591 cited

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  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management515 cited
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    • 2022On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis21 cited