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Commodity Price Dynamics
16 references·5 citing·40 second hop
Commodity Price Dynamics (2011)Commodity Price DynamicsNot All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Calculus for Finance II: Continuous-Time Models (2004)Stochastic Calculus for Finan…Numerical Methods in Economics (1998)Numerical Methods in EconomicsThe variation of certain speculative prices (1997)The variation of certain spec…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.On the Behaviour of Commodity Prices (1992)On the Behaviour of Commodity…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Recursive Methods in Economic Dynamics (1989)Recursive Methods in Economic…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…A Treatise on Money (1971)A Treatise on MoneyA survey of electricity spot and futures price models for risk management applications (2021)A survey of electricity spot …Price Dynamics in Biological Production Processes Exposed to Environmental Shocks (2017)Price Dynamics in Biological …Fundamentals, Derivatives Market Information and Oil Price Volatility (2014)Fundamentals, Derivatives Mar…Electricity Derivatives Pricing with Forward-Looking Information (2013)Electricity Derivatives Prici…Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements (2011)Does 'Paper Oil' Matter? Ener…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)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)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Indivisible labor and the business cycle (1985)Occupational Choice and the Process of Development (1993)The Theory of Incentives: The Principal-Agent Model (2001)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)
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References

  • 2005Theory of rational option pricing7,161 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1989Recursive Methods in Economic Dynamics3,065 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1971A Treatise on Money1,728 cited
  • 1992On the Behaviour of Commodity Prices1,154 cited
  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 1989

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Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
1,047 cited

Cited by

  • 2014Fundamentals, Derivatives Market Information and Oil Price Volatility85 cited
  • 2017Price Dynamics in Biological Production Processes Exposed to Environmental Shocks78 cited
  • 2011Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements77 cited
  • 2013Electricity Derivatives Pricing with Forward-Looking Information37 cited
  • 2021A survey of electricity spot and futures price models for risk management applications33 cited