Accepted Papers

Accepted Papers


Dirk Baur

University of Western Australia

The Asymmetric Return - Volatility Relationship of Commodity Price Changes

Dirk Baur

University of Western Australia

Commodity Prices, Currencies and the Law of One Price

Robert Bianchi

Griffith Business School

Microscopic Momentum in Commodity Futures

David C. Broadstock

Southwestern University of Finance & Economics

Shocks and Stocks Part II: on the time varying relationship between oil shocks and stock market returns in the US

Kenneth W Clements

University of Western Australia

Food and agricultural prices across countries and the law of one price

John Hua Fan

Griffith Business School

Carbon Prices and Macroeconomic Risks in China: Evidence from the Pilot Trading Phase

Torun Fretheim

Norwegian University of Life Sciences

Are grain markets infected by oil price shocks?

Marc Gronwald

University of Aberdeen

Oil price systemic risk for the oil and gas industry: A Copula-CoVaR approach

Rangga Handika

Abu Dhabi University

The Predictive Power of Log-likelihood of GARCH volatility in Financialized Commodity Markets

Katja Ignatieva


Jump Activity Analysis for Affine Jump-diffusion Models: Evidences from the Commodity Market

Thore Kockerols

Université Paris 1 Panthéon-Sorbonne

Financialisation in the aluminium market - Evidence from a DSGE model

Chiara Legnazziy

Swiss Finance Institute at Universitia della Svizzera Italiana, Lugano

WTI Crude Oil Option Implied VaR and CVaR: an Empirical Application

Joey Maisano

University of Technology Sydney and Director, Trading Technology Australia Pty. Ltd

An Analytical Model for Standard and Volumetric Cap and Floor Pricing in Electricity Markets

Svetlana Maslyuk-Escobedo

Australian Catholic University,

Carry Trade Returns and Gold Prices: Nonlinear Time Series Evidence from 4 Classical Carry Trade Pairs

Rabindra Nepal

Charles Darwin University

Regulatory Reforms in Small and Isolated Energy System: Experience from Australia's Northern Territory Electricity Market

Christina Sklibosios Nikitopoulos

University of Technology Sydney

Empirical hedging performance on long-dated crude oil derivatives

Tatsuyoshi Okimoto

Australian National University

Measuring the Effects of Commodity Price Shocks on Asian Economies

Eric Olson

West Virginia University

Commodity Tracking and Sparse Portfolios

Hossein Rad

University of Queensland

How successful are equities investment strategies when applied in the commodity futures market?

Ronald D. Ripple

The University of Tulsa

The normal backwardation of Keynes and Hicks in crude oil futures

Chandra Dev Singh

Head of Derivatives - Risk Management, International Trade Bharat Petroleum Corporation Limited (BPCL)

Hedging of Energy Prices - It is VUCA world!

Neda Todorova

Griffith University

Volatility forecasting of non-ferrous metal futures: What do we gain with “covariances”, “covariates” or “combinations”?

Yahua Xu

Auckland University of Technology

Higher Moment Risk Premiums for the Crude Oil Market: A Downside and Upside Conditional Decomposition

Xin Jin

University of Aberdeen

Factors of the Risk Premia in the Crude Oil Futures Prices

Xunpeng Shi

National University of Singapore

What drives natural gas pricing? A cross country study

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