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Volume 16, Issue 12

Quantitative Finance

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Quantitative Finance, Volume 16, Issue 12 (2016)

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Quantitative Finance, Volume 16, Issue 12 (2016)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Volume 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Commodity Markets

Features

Article

Pricing regime-switching risk in an HJM interest rate environment

Robert J. Elliott & Tak Kuen Siu

Pages: 1791-1800

Published online: 20 Apr 2016

First Page PreviewforPricing regime-switching risk in an HJM interest rate environment | Full Text | References | PDF (322.7 KB)

411 Views
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Book review

Book Review

Risk Parity Fundamentals

Sebastien Page (CFA)

Pages: 1801-1802

Published online: 05 Sep 2016

CitationforRisk Parity Fundamentals | Full Text | References | PDF (204.2 KB)

343 Views
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Free Access

Calendar

Page: 1803

Published online: 07 Nov 2016

CitationforCalendar | Full Text | PDF (46.9 KB)

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Foreword

Introduction

Special Issue of Quantitative Finance on ‘Commodity Markets’

Christian-Oliver Ewald, Athanasios A. Pantelous & Georgios Sermpinis

Pages: 1807-1808

Published online: 07 Nov 2016

CitationforSpecial Issue of Quantitative Finance on ‘Commodity Markets’ | Full Text | PDF (76.4 KB)

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Free Access

Research Papers

Article

Volatility forecasting of strategically linked commodity ETFs: gold-silver

Štefan Lyócsa & Peter Molnár

Pages: 1809-1822

Published online: 14 Sep 2016

AbstractforVolatility forecasting of strategically linked commodity ETFs: gold-silver | Full Text | References | PDF (837.1 KB)

652 Views
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Article

The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model

Christian-Oliver Ewald, Roy Nawar, Ruolan Ouyang & Tak Kuen Siu

Pages: 1823-1842

Published online: 14 Sep 2016

AbstractforThe market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model | Full Text | References | PDF (3.1 MB)

550 Views
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Article

A stochastic model for commodity pairs trading

Ahmet Göncü & Erdinc Akyildirim

Pages: 1843-1857

Published online: 01 Aug 2016

AbstractforA stochastic model for commodity pairs trading | Full Text | References | PDF (1.2 MB)

1370 Views
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Article

Jumps and stochastic volatility in crude oil prices and advances in average option pricing

Ioannis Kyriakou, Panos K. Pouliasis & Nikos C. Papapostolou

Pages: 1859-1873

Published online: 08 Sep 2016

AbstractforJumps and stochastic volatility in crude oil prices and advances in average option pricing | Full Text | References | PDF (573.5 KB)

504 Views
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Article

Modelling, forecasting and trading with a new sliding window approach: the crack spread example

Andreas Karathanasopoulos, Christian Dunis & Samer Khalil

Pages: 1875-1886

Published online: 14 Sep 2016

AbstractforModelling, forecasting and trading with a new sliding window approach: the crack spread example | Full Text | References | PDF (421.4 KB)

390 Views
6 CrossRef citations
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Article

Daniel Tsvetanov, Jerry Coakley & Neil Kellard

Pages: 1887-1899

Published online: 14 Sep 2016

AbstractforIs news related to GDP growth a risk factor for commodity futures returns? | Full Text | References | PDF (310.6 KB)

333 Views
4 CrossRef citations
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Article

Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities

Charalampos Stasinakis, Georgios Sermpinis, Ioannis Psaradellis & Thanos Verousis

Pages: 1901-1915

Published online: 14 Sep 2016

AbstractforKrill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities | Full Text | References | PDF (970.4 KB)

400 Views
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Article

Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling

Wei Yang, Ai Han, Yongmiao Hong & Shouyang Wang

Pages: 1917-1928

Published online: 16 Sep 2016

AbstractforAnalysis of crisis impact on crude oil prices: a new approach with interval time series modelling | Full Text | References | PDF (356.9 KB)

540 Views
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Article

Prediction of extreme price occurrences in the German day-ahead electricity market

Lars Ivar Hagfors, Hilde Hørthe Kamperud, Florentina Paraschiv, Marcel Prokopczuk, Alma Sator & Sjur Westgaard

Pages: 1929-1948

Published online: 14 Sep 2016

AbstractforPrediction of extreme price occurrences in the German day-ahead electricity market | Full Text | References | PDF (686.8 KB)

834 Views
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Article

Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application

N. Karagiannis, H. Assa, A. A. Pantelous & C. G. Turvey

Pages: 1949-1959

Published online: 14 Sep 2016

AbstractforModelling and pricing of catastrophe risk bonds with a temperature-based agricultural application | Full Text | References | PDF (500.9 KB)

648 Views
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Article

Oil prices and sovereign credit risk of oil producing countries: an empirical investigation

Christoph Wegener, Tobias Basse, Frederik Kunze & Hans-Jörg von Mettenheim

Pages: 1961-1968

Published online: 08 Sep 2016

AbstractforOil prices and sovereign credit risk of oil producing countries: an empirical investigation | Full Text | References | PDF (545.4 KB)

590 Views
30 CrossRef citations
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Errata

Correction

Erratum

Page: ei

Published online: 04 May 2016

CitationforErratum | Full Text | PDF (58.7 KB)

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Free Access

Editorial Board

Page: ebi

Published online: 07 Nov 2016

CitationforEditorial Board | Full Text | PDF (46.1 KB)

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Quantitative Finance (Vol.16, Iss.12, 2016)

Commodity Markets

Commodity Markets

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