Blar i NTNU Handelshøyskolen på tidsskrift "Journal of Commodity Markets"

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    • Modeling the multivariate dynamic dependence structure of commodity futures portfolios 

      Aepli, Matthias, D.; Füss, Roland; Henriksen, Tom Erik Sønsteng; Paraschiv, Florentina (Journal article, 2017)
      This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the ...

    • Oil–gas price relationships on three continents: Disruptions and equilibria 

      Halser, Christoph; Paraschiv, Florentina; Russo, Marianna (Peer reviewed; Journal article, 2023)
      In this paper, we revisit traditional gas pricing formulas and show the ever-changing relationships between natural gas and oil prices in Europe, the United States, and Japan between 2009 and 2021. The results suggest a ...