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The Determinants of Extreme Commodity Prices

https://doi.org/10.2139/ssrn.1929043
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Outgoing claims: the papers this work cites, builds on, or argues with.

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A theory of negative prices for storage
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A theory of negative prices for storage
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A Treatise on Money
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The variation of certain speculative prices
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Conditional value-at-risk: Aspects of modeling and estimation
inferredcites →https://doi.org/10.1007/s001810000062openalex-extracted
Conditional value-at-risk: Aspects of modeling and estimation
inferredcites →https://doi.org/10.1007/s00199-008-0431-zopenalex-extracted
Rearranging Edgeworth–Cornish–Fisher expansions
inferredcites →https://doi.org/10.1016/0165-1889(94)90039-6openalex-extracted
Threshold heteroskedastic models
inferredcites →https://doi.org/10.1016/0304-405x(82)90018-6openalex-extracted
The stochastic behavior of common stock variances Value, leverage and interest rate effects
inferredcites →https://doi.org/10.1016/0304-405x(92)90017-ropenalex-extracted
Time-varying risk premia and forecastable returns in futures markets
inferredcites →https://doi.org/10.1016/j.jempfin.2008.10.002openalex-extracted
Quantile regression analysis of hedge fund strategies
inferredcites →https://doi.org/10.1016/j.jfineco.2012.04.005openalex-extracted
What does futures market interest tell us about the macroeconomy and asset prices?
inferredcites →https://doi.org/10.1016/j.jinteco.2003.11.002openalex-extracted
Exchange rate puzzles and distorted beliefs
inferredcites →https://doi.org/10.1016/s0927-5398(97)00008-xopenalex-extracted
Tail index and quantile estimation with very high frequency data
inferredcites →https://doi.org/10.1080/01621459.1999.10473882openalex-extracted
Goodness of Fit and Related Inference Processes for Quantile Regression
inferredcites →https://doi.org/10.1086/294632openalex-extracted
The Variation of Certain Speculative Prices
inferredcites →https://doi.org/10.1086/296385openalex-extracted
Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage
inferredcites →https://doi.org/10.1093/rfs/hhg058openalex-extracted
Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
inferredcites →https://doi.org/10.1093/rof/rfs019openalex-extracted
The Fundamentals of Commodity Futures Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02647.xopenalex-extracted
Why Does Stock Market Volatility Change Over Time?
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04727.xopenalex-extracted
Macroeconomic Influences and the Variability of the Commodity Futures Basis
inferredcites →https://doi.org/10.1162/003355302320935034openalex-extracted
Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve
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Quantile Regression Analysis of Hedge Fund Strategies
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Is the Distribution of Stock Returns Predictable?
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Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve
inferredcites →https://doi.org/10.2139/ssrn.272488openalex-extracted
Conditional Value-at-Risk: Aspects of Modeling and Estimation
inferredcites →https://doi.org/10.2139/ssrn.458522openalex-extracted
A Quantile Regression Analysis of the Cross Section of Stock Market Returns
inferredcites →https://doi.org/10.2307/146316openalex-extracted
Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research
inferredcites →https://doi.org/10.2307/1913811openalex-extracted
An Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.2307/2297923openalex-extracted
On the Behaviour of Commodity Prices
inferredcites →https://doi.org/10.2307/2328636openalex-extracted
Why Does Stock Market Volatility Change Over Time?
inferredcites →https://doi.org/10.2307/2967593openalex-extracted
Speculation and Economic Stability
inferredcites →https://doi.org/10.3386/w0444openalex-extracted
On Estimating the Expected Return on the Market: An Exploratory Investigation
inferredcites →https://doi.org/10.3386/w13249openalex-extracted
The Fundamentals of Commodity Futures Returns
inferredcites →https://doi.org/10.3386/w6324openalex-extracted
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
inferredcites →https://doi.org/10.48550/arxiv.0708.1627openalex-extracted
Rearranging Edgeworth-Cornish-Fisher Expansions
inferredcites →https://doi.org/10.1016/0304-405x(87)90045-6openalex-snapshot
Stock Returns and the Term Structure
inferredcites →https://doi.org/10.1111/0022-1082.00184openalex-snapshot
A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
inferredcites →https://doi.org/10.1257/aer.99.3.1053openalex-snapshot
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
inferredcites →https://doi.org/10.2139/ssrn.1278432openalex-snapshot
Commodities and the Market Price of Risk
inferredcites →https://doi.org/10.2139/ssrn.1571987openalex-snapshot
Index Investment and Financialization of Commodities

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2671214openalex-extracted
Financialisation of the Commodity Markets. Conclusions from the VARX DCC GARCH
inferred← citeshttps://doi.org/10.21314/jrmv.2015.146openalex-snapshot
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
inferred← citeshttps://doi.org/10.21314/jrmv.2019.213openalex-snapshot
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
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