Technical paper/Commodities
A dynamic conditional correlation between commodities and the Islamic stock market
This paper focusses on the dynamics of the correlations between commodities and Islamic indexes.
The dynamics of energy futures and equity sectors: evidence from the United States and Canada
This paper investigates a sector-rotation strategy in order to elucidate two congruent objectives.
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
Quant ideas: Building a better LNG forward curve
An overview of effective methods for constructing long-term LNG forward price curves
Commodity leveraged ETFs: Tracking errors, volatility decay and trading strategies
Tracking performance of ETFs is examined, with a focus on volatility decay
Quant ideas: Liquidity in commodity risk management
Liquidity plays a vastly underappreciated role in commodity markets
Cutting edge: Incorporating forex volatility into commodity spread option pricing
Spread option pricing: importance of forex risk factors illustrated
Valuation of commodity structures in co-integrated futures markets
Valuation of commodity structures in co-integrated futures markets
The information premium for non-storable commodities
Research Papers
Mean-reverting smiles
Commodity markets such as crude oil exhibit mean reversion as well as option smiles. The authors construct a model suitable for pricing exotic options in these markets
Plugging into electricity
Commodities