Browsing NTNU Handelshøyskolen by Journals "Journal of Commodity Markets"
Now showing items 1-2 of 2
-
Modeling the multivariate dynamic dependence structure of commodity futures portfolios
(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
(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 ...