Zobrazeno 1 - 10
of 240
pro vyhledávání: '"Theory of storage"'
Autor:
Byun, Sung Je
Publikováno v:
The Energy Journal, 2017 Sep 01. 38(5), 93-114.
Externí odkaz:
https://www.jstor.org/stable/26534377
Publikováno v:
Journal of Futures Markets. 40:1160-1175
This study examines the impacts of inventory and financial instability on the basis of the crude oil market. The results show that, first, the basis rises with inventory, and this effect is higher during low inventory regimes. This validates the theo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6c3bc0ce6f0f1a094113365a673c2b2a
https://doi.org/10.1002/fut.22113
https://doi.org/10.1002/fut.22113
Autor:
Loïc Maréchal
Publikováno v:
Journal of Futures Markets. 41:1735-1774
This paper explores empirically whether the supply or the demand uncertainty, the time to maturity, and the slope of the term structure (storage), explain the realized volatility of nearby commodity futures 5‐min returns. I find support for the “
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8e30031b5d5f38c220d628107ca25f7d
https://doi.org/10.1002/fut.22250
https://doi.org/10.1002/fut.22250
Publikováno v:
Journal of Financial and Quantitative Analysis. 56:1350-1380
We study the dynamics of cash-and-carry arbitrage using the U.S. crude oil market. Sizable arbitrage-related inventory movements occur at the New York Mercantile Exchange (NYMEX) futures contract delivery point but not at other storage locations, whe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::81041b368fe71afef4fd7a40dd82ee35
https://doi.org/10.1017/s0022109020000204
https://doi.org/10.1017/s0022109020000204
Publikováno v:
Journal of Agricultural Economics. 71:631-651
We empirically examine the predictability of the conditions which are associated with a higher probability of a price spike in agricultural commodity markets. We find that the forward spread is the most significant indicator of probable price jumps i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bb7e336fd095d245e0ae9c43b118d357
https://doi.org/10.1111/1477-9552.12377
https://doi.org/10.1111/1477-9552.12377
Akademický článek
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Publikováno v:
Energy Economics
Energy Economics, Elsevier, 2021, ⟨10.1016/j.eneco.2021.105460⟩
Energy Economics, Elsevier, 2021, ⟨10.1016/j.eneco.2021.105460⟩
International audience; This paper studies the energy futures risk premia that can be extracted through long-short portfolios that exploit heterogeneities across contracts as regards various characteristics or signals and integrations thereof. Invest
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4274664e0de4292ad9d889906369b8bb
https://hal-audencia.archives-ouvertes.fr/hal-03312959/document
https://hal-audencia.archives-ouvertes.fr/hal-03312959/document
Publikováno v:
SSRN Electronic Journal.
We analyse the dynamic behavior of conditional volatility in commodity markets using a novel, manually collected dataset of daily price ranges over a time span of more than 140 years, which allows more precise daily volatility estimates than are othe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::503ac475eaca8ebf19fb71813a5fbb34
https://doi.org/10.2139/ssrn.3825894
https://doi.org/10.2139/ssrn.3825894
Autor:
Ilia Bouchouev
Publikováno v:
SSRN Electronic Journal.
The paper proposes a practical alternative to a traditional theory of storage, which is difficult to apply to oil markets due to structural differences, such as low-price elasticities of demand and supply, and the dominant role of oil as an investmen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee4c049dc72679b6a2718a661814a8fb
https://doi.org/10.2139/ssrn.3781158
https://doi.org/10.2139/ssrn.3781158
Publikováno v:
SSRN Electronic Journal.
Energy market pundits blamed United States Oil fund (USO), the largest WTI crude oil exchange traded fund, for the negative pricing of the May 2020 contract (known as CLK20) observed on April 20, 2020. Using Granger-causality tests, this article show
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::48805764f8b798e70bb35174aab0e067
https://doi.org/10.2139/ssrn.3748321
https://doi.org/10.2139/ssrn.3748321