In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in extracting interactions between financial entities. Here, we propose a modified MST network whose metric distance is defined in terms of cross-correlation coeffic...

The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices. This paper proposes a unifying framework for examining this question, noting that according to a simp...

The West Texas Intermediate (WTI) spot price shows high volatility and in 2014 and 2015 when quoted prices declined sharply, long-term prices in future markets were less volatile. These prices are different and diverge depending on how they process fundamental and transitory factors. US tight oil production has been a major innovation with significant macroeconomic effects. In this paper we use...

Malliaris and Urrutia (1996) use cointegration to analyse the prices of agricultural commodity futures contracts traded on the Chicago Board of Trade (CBOT). They ® nd a long-run relationship among US grown corn, wheat, oat, soybean, soybean meal and soybean oil futures prices and assert that this empirical ® nding is consistent with two alternative hypotheses. The ® rst is that common economic...

Bu çalışmanın temel amacı petrol riski, spot piyasası ve vadeli işlemler arasındaki stokastik volatilite yayılımını araştırmaktır. Çalışmada 16.03.2011 – 03.09.2021 dönemine ait çeşitli endeksleri günlük olarak kullanılmıştır. Analiz için veriler getiri serisine dönüştürülerek Öncelikle değişkenlerin durağanlık sınanması Lee- Strazicich birim kök testi aracılığıyla yapılmış serilerin seviyede d...

In this paper, we propose a commodity pricing model that extends Gibson-Schwartz two-factor model to incorporate the effect of linear relations among commodity prices, which include co-integration under certain conditions. We derive futures and call option pricing formulae, and show that unlike Duan and Pliska (2004), the linear relations among commodity prices, or the error correction term, sh...