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Financialization of the commodity future markets: a SVAR model approach
(2017-01-25)
This is a study regarding the impact of the index investments in the Commodity Future Market. The models applied, focus on the Causal Analysis and the Impulse Response Function through an orthogonalisation of the Vector ...
Investor demand and spot commodity prices
(ELSEVIER SCI LTD, 2011)
The on-going debate over the influence of investor demand on spot commodity prices largely attempts to assess this influence by measuring the growth in investor demand in recent years. Given the serious data problems that ...
Predicting the future price of a commodity using the OWMA operator: An approximation of the interest rate and inflation in the brown pastusa potato price
(Journal of Intelligent and Fuzzy Systems, 2022)
Una aproximación a la estimación de rendimientos de conveniencia y precios teóricos de futuros para commodities agropecuarios en ColombiaUma aproximação à estimação de rendimentos de conveniência e preços teóricos futuros para commodities agropecuários na Colômbia
Hasta el momento, en Colombia no hay un mercado de derivados suficientemente estructurado que permita estimar precios de futuros de commoditiesagropecuarios. Sin embargo, es posible estimar bandas dentro de las que se moverían ...
Can oil prices help estimate commodity futures prices? The cases of copper and silver
(ELSEVIER SCI LTD, 2010)
There is an extensive literature on modeling the stochastic process of commodity futures. It has been shown that models with several risk factors are able to adequately fit both the level and the volatility structure of ...
Proposta de construção de uma nova família de índices de commodities para o mercado financeiro brasileiro
(2015-11-30)
As the financial commodities market is developing and introducing new commodity indices globally, today they are divided into three generations. In 2014, the Gross Domestic Product (GDP) of agribusiness in Brazil represented ...
Implementing a stochastic model for oil futures prices
(ELSEVIER SCIENCE BV, 2003)
This paper develops a parsimonious three-factor model of the term structure of oil futures prices that can be easily estimated from available futures price data. In addition, it proposes a new simple spreadsheet implementation ...
Risk premium structure of agricultural commodities
(2023)
In this thesis, a dynamic pricing model is developed, which uses both futures prices and expert price expectations to model the risk premium for corn, soybeans, and wheat. The price structures of agricultural commodities ...