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SSRN eLibrary Search Results
Econometric Modeling: Commodity Markets eJournal
94,319 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 1,120
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Incl. Electronic Paper Conditional Variance Dynamics of Gold and Other Precious Metals - Forecast Comparison with Intra-Day Data
Tony Klein
Technische Universität Dresden
Date Posted: July 28, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Crude Inventory Accounting and Speculation in the Physical Oil Market
Ivan Diaz-Rainey, Helen Roberts and David H. Lont
University of Otago - School of Business, University of Otago and University of Otago - Department of Accountancy and Finance
Date Posted: July 28, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper How Does Market Access for Smallholders Affect Export Supply? The Case of Tobacco Marketing in Malawi
Tinbergen Institute Discussion Paper 16-054/V
Wouter Zant
VU University Amsterdam - Faculty of Economics and Business Administration
Date Posted: July 25, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Jumps and Stochastic Volatility in Crude Oil Prices and Advances in Average Option Pricing
Quantitative Finance (Forthcoming)
Ioannis Kyriakou, Panos K. Pouliasis and Nikos C. Papapostolou
City University London - Sir John Cass Business School, Sir John Cass Business School and Cass Business School, City University London
Date Posted: July 24, 2016
Accepted Paper Series
30 downloads

Incl. Electronic Paper Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility
Arabinda Basistha, Alexander Kurov and Marketa Halova Wolfe
West Virginia University - College of Business & Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Date Posted: July 21, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper A Multifactor Stochastic Volatility Model of Commodity Prices
Gonzalo Cortazar, Matias Lopez and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile - Department of Industrial Engineering and University of Miami - Department of Finance
Date Posted: July 20, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Oil Price Elasticities and Oil Price Fluctuations
FRB International Finance Discussion Paper No. 1173
Dario Caldara, Michele Cavallo and Matteo M. Iacoviello
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System - Division of Monetary Affairs and Federal Reserve Board - Trade and Financial Studies
Date Posted: July 19, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Buffering Volatility: A Study on the Limits of Germany's Energy Revolution
CESifo Working Paper Series No. 5950
Hans-Werner Sinn
CESifo (Center for Economic Studies and Ifo Institute)
Date Posted: July 19, 2016
Working Paper Series
9 downloads

Incl. Fee Electronic Paper Pricing Swing Options in Electricity Markets with Two Stochastic Factors Using a Partial Differential Equation Approach
Journal of Computational Finance, Forthcoming
Maria del Carmen Calvo-Garrido, Matthias Ehrhardt and Carlos Vázquez Cendón
University of Coruña - Department of Mathematics, Bergische Universitat Wuppertal and University of Coruña - Department of Mathematics
Date Posted: July 16, 2016
Accepted Paper Series

Incl. Electronic Paper Global Energy Trends and Their Implications for Russia: A Pathway to the New Energy Wave
Higher School of Economics Research Paper No. WP BRP 64/STI/2016
E. Kyzyngasheva and Liliana Proskuryakova
National Research University Higher School of Economics (Moscow) and National Research University Higher School of Economics
Date Posted: July 14, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Oil Prices and the Global Economy: Is it Different this Time Around?
USC-INET Research Paper No. 16-21
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Faculty of Economics and Politics and USC Dornsife Institute for New Economic Thinking
Date Posted: July 11, 2016
Working Paper Series
58 downloads

Incl. Electronic Paper Dynamic Corporate Risk Management: Motivations and Real Implications
Georges Dionne, Jean-Pierre Gueyie and Mohamed Mnasri
HEC Montreal - Department of Finance, University of Quebec in Montreal-Department of Finance and University of Quebec at Montreal (UQAM)
Date Posted: July 08, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper The Impact of the North American Shale Gas Revolution on Regional Natural Gas Markets: Evidence from the Regime-Switching Model
Energy Policy, 96, 167-178 (2016)
Jiang-Bo Geng, Qiang Ji and Ying Fan
University of Science and Technology of China (USTC) - School of Management, Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Chinese Academy of Sciences - Institute of Policy and Management - Center for Energy and Environmental Policy Research
Date Posted: July 08, 2016
Last Revised: July 24, 2016
Accepted Paper Series
8 downloads

Oil Price Risk Exposure: A Comparison of Financial and Non-Financial Subsectors
Energy, Volume 109, 2016, Pages 712-723, ISSN 0360-5442, doi:10.1016/j.energy.2016.05.028
Komeil Shaeri, Cahit Adaoglu and Salih Turan Katircioglu
Eastern Mediterranean University - Department of Banking and Finance, Eastern Mediterranean University - Department of Banking and Finance and Eastern Mediterranean University
Date Posted: July 08, 2016
Accepted Paper Series

Incl. Electronic Paper The Effects of Higher Oil Prices on the Level of Consumer Prices in Jamaica: An Estimation of the Pass-Through Effect for the Period 2001 to 2016
Samuel P. Indalmanie
Independent
Date Posted: July 07, 2016
Working Paper Series
1 downloads

The Diagnosis of an Electricity Crisis and Alternative Energy Development in Pakistan
Renewable and Sustainable Energy Reviews, 52: 1172-1185.
Faheemullah Shaikh, Qiang Ji and Ying Fan
Chinese Academy of Sciences (CAS), Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Chinese Academy of Sciences - Institute of Policy and Management - Center for Energy and Environmental Policy Research
Date Posted: July 05, 2016
Accepted Paper Series

Incl. Electronic Paper The Behaviour Mechanism Analysis of Regional Natural Gas Prices: A Multi-Scale Perspective
Energy, 101, 266-277.
Jiang-Bo Geng, Qiang Ji and Ying Fan
University of Science and Technology of China (USTC) - School of Management, Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Chinese Academy of Sciences - Institute of Policy and Management - Center for Energy and Environmental Policy Research
Date Posted: July 05, 2016
Last Revised: July 06, 2016
Accepted Paper Series
5 downloads

Incl. Electronic Paper System Analysis Approach for the Identification of Factors Driving Crude Oil Prices
Computers and Industrial Engineering, 63(3): 615-625.
Qiang Ji
Chinese Academy of Sciences (CAS) - Institute of Policy and Management
Date Posted: July 05, 2016
Last Revised: July 06, 2016
Accepted Paper Series
7 downloads

Incl. Electronic Paper Market Interdependence Among Commodity Prices Based on Information Transmission on the Internet
Physica A: Statistical Mechanics and its Applications, 426, 35-44.
Qiang Ji and Jianfeng Guo
Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Chinese Academy of Sciences (CAS) - Institute of Policy and Management
Date Posted: July 05, 2016
Last Revised: July 06, 2016
Accepted Paper Series
2 downloads

Incl. Electronic Paper How Does Oil Price Volatility Affect Non-Energy Commodity Markets?
Applied Energy, 89(1): 273-280, 2012
Qiang Ji and Ying Fan
Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Chinese Academy of Sciences - Institute of Policy and Management - Center for Energy and Environmental Policy Research
Date Posted: July 05, 2016
Last Revised: July 06, 2016
Accepted Paper Series
6 downloads

Incl. Electronic Paper How Does Market Concern Derived from the Internet Affect Oil Prices?
Applied Energy, 112: 1536-1543.
Jianfeng Guo and Qiang Ji
Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Chinese Academy of Sciences (CAS) - Institute of Policy and Management
Date Posted: July 05, 2016
Last Revised: July 06, 2016
Accepted Paper Series
4 downloads

Incl. Electronic Paper Dynamic Integration of World Oil Prices: A Reinvestigation of Globalisation vs. Regionalisation
Applied Energy, 155: 171-180.
Qiang Ji and Ying Fan
Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Chinese Academy of Sciences - Institute of Policy and Management - Center for Energy and Environmental Policy Research
Date Posted: July 05, 2016
Last Revised: July 07, 2016
Accepted Paper Series
2 downloads

Modelling the Gold Price in Turkish Free Market: Static Approach (Determinanty cen złota na wolnym rynku tureckim: podejście statystyczne)
Vistula University Working Papers / Zeszyty Naukowe Uczelni Vistula, No. 41(3)
Hakan Aras
Vistula University - Faculty of Business and International Relations
Date Posted: June 30, 2016
Accepted Paper Series

Incl. Electronic Paper Catalyzing Investment for Renewable Energy in Developing Countries
KIEP Research Paper World Economy Update- No.16-17
Jin-Young Moon, Jihei Song and Seojin Lee
Korea Institute for International Economic Policy, Korea Institute for International Economic Policy and Korea Institute for International Economic Policy
Date Posted: June 29, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Renewable Energy in Nigeria: A Peep into Science, a Conclusion on Policy
International Journal for Innovations in Science, Business and Technology 1, 49-72, (2015)
Temitope Tunbi Onifade
Memorial University
Date Posted: June 28, 2016
Accepted Paper Series
7 downloads

Incl. Electronic Paper Expectations, Fundamentals, and Asset Returns: Evidence from the Commodity Markets
Alessandro Beber and Jacopo Piana
Cass Business School and Cass Business School
Date Posted: June 25, 2016
Working Paper Series
38 downloads

Incl. Fee Electronic Paper Applications of Weather Derivatives in the Energy Market
Journal of Energy Markets, Vol. 8, No. 1, 2015
Kaijie Cui and Anatoliy V. Swishchuk
University of Calgary and University of Calgary
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Pricing and Hedging Quanto Options in Energy Markets
Journal of Energy Markets, Vol. 8, No. 1, 2015
Fred Espen Benth, Nina Lange and Tor Age Myklebust
University of Oslo - Department of Mathematics, Copenhagen Business School and Norwegian School of Economics (NHH)
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Crude Oil Price Volatility Spillovers into Major Equity Markets
Journal of Energy Markets, Vol. 8, No. 1, 2015
Bahram Adrangi, Arjun Chatrath, Joseph Macri and Kambiz Raffiee
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, Macquarie University - Department of Economics and University of Nevada, Reno - College of Business Administration - Department of Economics
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Electronic Paper Monetary Policy and the Oil Futures Market
Bundesbank Discussion Paper No. 35/2012
Sandra Eickmeier and Marco J. Lombardi
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: June 21, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Understanding Oil Investing
Ludwig B. Chincarini, John Love and Robert Nguyen
University of San Francisco School of Management, USCF Investments and USCF Investments
Date Posted: June 20, 2016
Working Paper Series
181 downloads

Incl. Electronic Paper The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?
Energy Policy, Forthcoming
Dean Fantazzini
Date Posted: June 20, 2016
Accepted Paper Series
34 downloads

Incl. Fee Electronic Paper High Frequency Evidence on the Demand for Gasoline
NBER Working Paper No. w22345
Laurence Levin, Matthew S. Lewis and Frank Wolak
VISA Decision Sciences, Clemson University - John E. Walker Department of Economics and National Bureau of Economic Research (NBER)
Date Posted: June 20, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Chinese Zodiac Effect and Precious Metals Returns of 1900-2013
International Journal of Applied Business and Economic Research, 13(5), 2015
Robiyanto Robiyanto, SE Hersugondo and Siti Puryandani
Satya Wacana Christian University, Independent and STIE Bank BPD Jateng
Date Posted: June 16, 2016
Accepted Paper Series
24 downloads

Incl. Electronic Paper Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach
Matteo Bonato, Riza Demirer, Rangan Gupta and Christian Pierdzioch
University of Johannesburg - Department of Economics, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of the German Federal Armed Forces - Department of Economics
Date Posted: June 15, 2016
Working Paper Series
22 downloads

Incl. Fee Electronic Paper Numerical Methods for the Quadratic Hedging Problem in Markov Models with Jumps
Journal of Computational Finance, Vol. 19, No. 2, Pages 29–67, 2015,
Carmine De Franco, Peter Tankov and Xavier Warin
OSSIAM, Université Paris Diderot and EDF Energy
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Electronic Paper A Dynamic Spatial Model of Agricultural Price Transmission: Evidence from the Niger Millet Market
IFPRI Discussion Paper 01536
Anatole Goundan and Mahamadou Tankari
International Food Policy Research Institute (IFPRI) and International Food Policy Research Institute (IFPRI)
Date Posted: June 15, 2016
Accepted Paper Series
7 downloads

Incl. Fee Electronic Paper Extreme Value Theory for Heavy Tails in Electricity Prices
Journal of Energy Markets, Vol. 9, No. 2, 2016
Florentina Paraschiv, Risto Hadzi-Mishev and Dogan Keles
University of St. Gallen, Institute for Operations Research and Computational Finance, University of St. Gallen and Karlsruhe Institute of Technology
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Pricing Crude Oil Options Using Lévy Processes
Journal of Energy Markets, Vol. 9, No. 1, 2016
Akbar Shahmoradi and Anatoliy V. Swishchuk
University of Calgary and University of Calgary
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Electronic Paper Does Speculation Impact What Factors Determine Oil Futures Prices?
Economics Letters, Vol. 144, 2016
Fabian Gogolin and Fearghal Kearney
Queen's Management School and Queen's Management School
Date Posted: June 14, 2016
Accepted Paper Series
35 downloads

Incl. Electronic Paper The Impact of Oil Price Shocks on the US Stock Market: A Note on the Roles of US and Non-US Oil Production
CAMA Working Paper No. 33/2016
Wensheng Kang, Ronald A. Ratti and Joaquin L. Vespignani
Kent State University - Department of Economics, University of Western Sydney - Department of Economics & Finance and University of Tasmania - School of Economics and Finance
Date Posted: June 12, 2016
Last Revised: June 16, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Timing Indicators for Structural Positions in Crude Oil Futures Contracts
Hilary Till
Premia Research LLC
Date Posted: June 11, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Forecasting the Price of Crude Oil Via Convenience Yield Predictions
Bundesbank Series 1 Discussion Paper No. 2006,12
Thomas Knetsch
Deutsche Bundesbank - Economics Department
Date Posted: June 08, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper An Equilibrium Model for Spot and Forward Prices of Commodities
Michail Anthropelos, Michael Kupper and Antonis Papapantoleon
University of Piraeus - Department of Banking and Financial Management, Humboldt University of Berlin - Department of Mathematics and Technische Universität Berlin (TU Berlin)
Date Posted: June 07, 2016
Working Paper Series
27 downloads

Incl. Fee Electronic Paper Exchange Rates, Oil Prices and Electricity Spot Prices: Empirical Insights from European Union Markets
Journal of Energy Markets, Vol. 7, No. 2, 2014
Giorgio Castagneto-Gissey and Richard Green
Imperial College London and Imperial College London
Date Posted: June 06, 2016
Working Paper Series

Incl. Fee Electronic Paper Time Regularities in the Russian Power Market
Journal of Energy Markets, Vol. 7, No. 4, 2014
Igor Pipkin
NMBU School of Economics and Business
Date Posted: June 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Electricity Retailers’ Behavior in a Highly Competitive Nordic Electricity Market
Journal of Energy Markets, Vol. 7, No. 4, 2014
Iliana Ilieva and Steven Gabriel
Norwegian University of Life Sciences (UMB) and University of Maryland - Department of Civil and Environmental Engineering
Date Posted: June 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The German Energiewende: Is the Manufacturing Sector at Risk?
Journal of Energy Markets, Vol. 7, No. 4, 2014
Hubertus Bardt and Hanno Kempermann
Cologne Institute for Economic Research and Cologne Institute for Economic Research
Date Posted: June 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Volatility Transmission in Energy Futures Markets
Journal of Energy Markets, Vol. 7, No. 3, 2014
Michael Soucek and Neda Todorova
European University Viadrina Frankfurt (Oder) and Griffith University
Date Posted: June 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Evaluating the Effects of Changing Market Parameters and Policy Implications in the German Electricity Market
Journal of Energy Markets, Vol. 7, No. 2, 2014
Christian Hendricks and Matthias Ehrhardt
Bergische Universitat Wuppertal and Bergische Universitat Wuppertal
Date Posted: June 06, 2016
Accepted Paper Series


 

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