Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?-Reference-Cited by-同舟云学术

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Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?

Published:2015-09-08 Issue:5 Volume:36 Page:457-487
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Cortazar Gonzalo¹,Gutierrez Simon²,Ortega Hector³⁴

Affiliation:

1. Gonzalo Cortazar is a Professor of Finance; Ingeniería Industrial y de Sistemas, Pontificia Universidad Católica de Chile; Santiago Chile

2. Simon Gutierrez is a Research Engineer; RiskAmerica Santiago Chile

3. Hector Ortega is a Adjunt Instructor, Ingeniería Industrial y de Sistemas; Pontificia Universidad Católica de Chile; Santiago Chile

4. Development Manager; RiskAmerica Santiago Chile

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference35 articles.

1. Performance of alternative option pricing;Bakshi;Journal of Finance,1997

2. Transformation of heath-jarrow-morton models to markovian systems;Bhar;European Journal of Finance,1997

3. Evaluating natural resource investments;Brennan;Journal of Business,1985

4. Option prices, implied price processes, and stochastic volatility;Britten-Jones;Journal of Finance,2000

5. Stochastic convenience yield implied from commodity futures and interest rates;Casassus;Journal of Finance,2005

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3. Time-Varying Term Structure of Oil Risk Premia;The Energy Journal;2022-09-01

4. The predictive power of macroeconomic uncertainty for commodity futures volatility;International Review of Finance;2020-05-06

5. Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?;Journal of Banking & Finance;2018-10

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