Journal of banking and finance

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  Año 2018, Vol. 95, Número 10

  • Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance

    Andrea Roncoroni, Marcel Prokopczuk, Ehud I. Ronn

    págs. 1-4

    

  • Oil volatility risk and expected stock returns

    Peter Christoffersen, Xuhui Pan

    págs. 5-26

    

  • The impact of commodity benchmarks on derivatives markets: The case of the dated Brent assessment and Brent futures

    Alex Frino, Gbenga Ibikunle, Vito Mollica, Tom Steffen

    págs. 27-43

    

  • Risk factors and their associated risk premia: An empirical analysis of the crude oil market

    Martin Hain, Marliese Uhrig-Homburg, Nils Unger

    págs. 44-63

    

  • Speculation, risk aversion, and risk premiums in the crude oil market

    Bingxin Li

    págs. 64-81

    

  • Is food financialized? Yes, but only when liquidity is abundant

    Beyza Mina Ordu, Adil Oran, Ugur Soytas

    págs. 82-96

    

  • Dynamic corporate risk management: Motivations and real implications

    Georges Dionne, Jean-Pierre Gueyie, Mohamed Mnasri

    págs. 97-111

    

  • The balance sheet effects of oil market shocks: An industry level analysis

    Khalid ElFayoumi

    págs. 112-127

    

  • Equilibrium commodity prices with irreversible investment and non-linear technologies

    Jaime Casassus, Pierre Collin-Dufresne, Bryan R. Routledge

    págs. 128-147

    

  • Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?

    Benjamin Cheng, Christina Sklibosios Nikitopoulos, Erik Schlögl

    págs. 148-166

    

  • Gas storage valuation under multifactor Lévy processes

    Mark Cummins, Greg Kiely, Bernard Murphy

    págs. 167-184

    

  • From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options

    Lorenz Schneider, Bertrand Tavin

    págs. 185-202

    

  • A space-time random field model for electricity forward prices

    Fred Espen Benth, Florentina Paraschiv

    págs. 203-216

    

  • Risk-optimized pooling of intermittent renewable energy sources

    Gerke Gersema, David Wozabal

    págs. 217-230

    

  • Cross-commodity news transmission and volatility spillovers in the German energy markets

    Rikard Green, Karl Larsson, Veronika Lunina, Birger Nilsson

    págs. 231-243

    

  • Optimal forward trading and battery control under renewable electricity generation

    Juri Hinz, Jeremy Yee

    págs. 244-254