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Economic Linkages, Relative Scarcity, and Commodity Futures Returns
16 references·0 citing·37 second hop
Economic Linkages, Relative Scarcity, and Commodity Futures Returns (2012)Economic Linkages, Relative Scarcity, and…Cointegration and error correction (2013)Cointegration and error corre…Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Stochastic Convenience Yield …The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Dynamics of Commodity Spo…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…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…On the Differentiability of the Value Function in Dynamic Models of Economics (1979)On the Differentiability of t…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…The Supply of Storage (1976)The Supply of StorageSpeculation and Economic Stability (1976)Speculation and Economic Stab…Futures Trading and the Storage of Cotton and Wheat (1958)Futures Trading and the Stora…Speculation and Economic Stability (1939)Speculation and Economic Stab…Review of Economic Studies (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures (2004)Forecasting volatility of crude oil markets (2008)The Econometrics of Financial Markets (2012)The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements (2021)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)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)Prospect theory: An analysis of decision under risk (1988)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)Theory of Rational Option Pricing (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)The Fundamentals of Commodity Futures Returns (2012)The Strategic and Tactical Value of Commodity Futures (2006)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 1939Speculation and Economic Stability913 cited
  • 1976Speculation and Economic Stability806 cited
  • 2001The Dynamics of Commodity Spot and Futures Markets: A Primer591 cited
  • 1958Futures Trading and the Storage of Cotton and Wheat553 cited
  • 1976The Supply of Storage533 cited
  • 2013Cointegration and error correction503 cited
  • 2000Equilibrium Forward Curves for Commodities475 cited
  • 2005Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates443 cited
  • 1979On the Differentiability of the Value Function in Dynamic Models of Economics

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