The dynamics of commodity prices

DOI10.1080/14697688.2013.769689zbMATH Open1281.91078OpenAlexW3124959233WikidataQ58168454 ScholiaQ58168454MaRDI QIDQ5397404FDOQ5397404

Authors: Chris Brooks, Marcel Prokopczuk 

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.769689

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zbMATH Keywords

Markov chain Monte Carlojumpsstochastic volatilitycommodity prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70)

Cites Work

• Bayesian Measures of Model Complexity and Fit
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Alternative models for stock price dynamics.
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• Seasonal and stochastic effects in commodity forward curves
• Post-'87 crash fears in the S\&P 500 futures option market
• Energy futures prices: term structure models with Kalman filter estimation

Cited In (11)

• Specification tests for time-varying parameter models with stochastic volatility
• Explaining the persistence of commodity prices
• Regret-aversion over different maturities: application to energy futures markets
• Testing data cloning as the basis of an estimator for the stochastic volatility in mean model
• Commodity price dynamics and derivative valuation: a review
• Can commodities dominate stock and bond portfolios?
• Global vs sectoral factors and the impact of the financialization in commodity price changes
• The declining price anomaly
• Related commodity markets and conditional correlations
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
• On the estimation of regime-switching Lévy models

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