Journal of Commodity Markets

2016 - 2025

Current editor(s): Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

From Elsevier
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Volume 32, issue C, 2023

Estimation of value at risk for copper

Konstantinos Gkillas, Christoforos Konstantatos, Spyros Papathanasiou and Mark Wohar

The role of higher moments in predicting China's oil futures volatility: Evidence from machine learning models

Hongwei Zhang, Xinyi Zhao, Wang Gao and Zibo Niu

What moves commodity terms-of-trade? Evidence from 178 countries

Yousef Makhlouf, Neil M. Kellard and Dmitri Vinogradov

The evolution of commodity market financialization: Implications for portfolio diversification

Renee Fry-McKibbin and Kate McKinnon

Exploring volatility of crude oil intraday return curves: A functional GARCH-X model

Gregory Rice, Tony Wirjanto and Yuqian Zhao

The Fortune and crash of common risk factors in Chinese commodity markets

Hemei Li, Zhenya Liu and Yuqian Zhao

Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach

Michael Gaete and Rodrigo Herrera

Hedging with futures during nonconvergence in commodity markets

Alankrita Goswami, Berna Karali and Michael Adjemian

Commodity prices under the threat of operational disruptions: Labor strikes at copper mines

Viviana Fernandez, Boris Pastén-Henríquez, Pablo Tapia-Griñen and Rodrigo Wagner

Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events

Ming-Yuan Yang, Zhanghangjian Chen, Zongzheng Liang and Sai-Ping Li

How are climate risk shocks connected to agricultural markets?

Kun Guo, Yichong Li, Yunhan Zhang, Qiang Ji and Wanli Zhao

World regional natural gas prices: Convergence, divergence or what? New evidence

Jose Roberto Loureiro, Julian Inchauspe and Roberto F. Aguilera

Volume 31, issue C, 2023

Commodity futures return predictability and intertemporal asset pricing

John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì

Logistics competition between the U.S. and Brazil for soybean shipments to China: An optimized Monte Carlo simulation approach

Gwen Kamrud, William W. Wilson and David Bullock

Trading time seasonality in electricity futures

Ståle Størdal, Christian-Oliver Ewald, Gudbrand Lien and Erik Haugom

Equilibrium and real options in the ethanol industry: Modeling and empirical evidence

Matt Davison and Nicolas Merener

Gold risk premium estimation with machine learning methods

Juan D. Díaz, Erwin Hansen and Gabriel Cabrera

The impact of financialization on the efficiency of commodity futures markets

Martin T. Bohl, Scott H. Irwin, Alexander Pütz and Christoph Sulewski

Explaining intraday crude oil returns with higher order risk-neutral moments

Patrick Wong

Carr and Wu’s (2020) framework in the oil ETF option market

Xiaolan Jia, Xinfeng Ruan and Jin E. Zhang

Do spot market auction data help price discovery?

Adrian Fernandez-Perez, Joëlle Miffre, Tilman Schoen and Ayesha Scott

Determinants and dynamic interactions of trader positions in the gold futures market

Yu-Lun Chen and Wan-Shin Mo

ETP tracking of U.S. agricultural and energy markets

Shamar Stewart, Olga Isengildina Massa, Colburn Hassman and Maximo de Leon

Parametric heat wave insurance

Karl Larsson

Wheat price volatility regimes over 140 years: An analysis of daily price ranges

Marco Haase, Heinz Zimmermann and Matthias Huss

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

Christoph Halser, Florentina Paraschiv and Marianna Russo

Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?

Faruk Balli, Hatice O Balli and Thi Thu Ha Nguyen

A review of the literature on LNG: Hubs development, market integration, and price discovery

Yuri Hupka, Ivilina Popova, Betty Simkins and Thomas Lee

Psychological price barriers, El Niño, La Niña: New insights for the case of coffee

Mark Holmes and Jesus Otero

Volume 30, issue C, 2023

Information effects of monetary policy announcements on oil price

Yang Yang, Jiqiang Zhang and Sanpan Chen

Composite jet fuel cross-hedging

Min Cao and Thomas Conlon

Systemwide directional connectedness from Crude Oil to sovereign credit risk

Vimmy Bajaj, Pawan Kumar and Vipul Kumar Singh

The asymmetric impact of global economic policy uncertainty on international grain prices

Shaobo Long, Jieyu Li and Tianyuan Luo

The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?

Xin Gao, Bingxin Li and Rui Liu

Realized higher-order moments spillovers between commodity and stock markets: Evidence from China

Hongwei Zhang, Chen Jin, Elie Bouri, Wang Gao and Yahua Xu

Commodity futures hedge ratios: A meta-analysis

Jędrzej Białkowski, Martin T. Bohl and Devmali Perera

Quantile dependencies and connectedness between stock and precious metals markets

Prachi Jain, Debasish Maitra, Ron P. McIver and Sang Hoon Kang

The economic impact of daily volatility persistence on energy markets

Christina Sklibosios Nikitopoulos, Alice Carole Thomas and Jianxin Wang

The CO2 cost pass-through in nonlinear emission trading schemes

Zhe Chen, Yan-ling Chen, Yue Su, Xue-ying Wang and You Wu

Currency crises in emerging countries: The commodity factor

Vincent Bodart and Jean-François Carpantier

Revisiting the Silver Crisis

Don Bredin, Valerio Potì and Enrique Salvador

Financialization of commodity markets ten years later

Wenjin Kang, Ke Tang and Ningli Wang

Microstructure and high-frequency price discovery in the soybean complex

Xinquan Zhou, Guillaume Bagnarosa, Alexandre Gohin, Joost M.E. Pennings and Philippe Debie

Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective

Jinxin Cui and Aktham Maghyereh

Quantifying impacts of competition and demand on the risk for fertilizer plant locations

William W. Wilson and Sumadhur Shakya

Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures

Juncal Cunado, Ioannis Chatziantoniou, David Gabauer, Fernando Perez de Gracia and Marfatia Hardik

A Bayesian perspective on commodity style integration

Ana-Maria Fuertes and Nan Zhao

Corporate commodity exposure: A multi-country longitudinal study

Xu Han, Elaine Laing, Brian Lucey and Samuel Vigne

Effects of global liquidity and commodity market shocks in a commodity-exporting developing economy

Gan-Ochir Doojav, Davaajargal Luvsannyam and Elbegjargal Enkh-Amgalan

Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model

Xiaoli Etienne, Sara Farhangdoost, Linwood Hoffman and Brian Adam