We analyze co-movements between the prices of crude oil and major refined products during
the period 1992–1998. Specifically, we explore the existence of long-run equilibrium price …

… C o n t r p = ∑ i = 1 n ⁡ w i C o n t r p i … -momentum’ is defined as: E S G m o m = P o r t f o
l i o S u s t a i n a b i l i t y S c o r e − H i s t o r i c a l P o r t f o l i o S u s t a i n a b i l i t y S c o r e …

When solving the Faustmann problem in a stochastic setting, it is typically assumed that prices
follow a random walk process. In the present paper, we instead assume that timber prices …

In this paper the relationships between crude oil and refined product prices are investigated
in a multivariate framework. This allows us to test several (partly competing) assumptions of …

Twenty years ago, Pindyck and Rotemberg concluded that commodity prices exhibited
excessive co-movements and that commodity markets were characterized by herd behaviour. …

We analyze the forecasting performance of the four-week and six-week futures prices in the
Nordic power market (Nord Pool), from 1995 to 2008. We find that short-term futures have …

Electricity is a non-storable commodity for consumers, while hydropower producers may store
future electricity as water in their reservoirs. Consequently, there is an asymmetry between …

… Support for no systematic change in volatility for commodities is found in Steen and Gjølberg
(2014a,b). In the latter paper, they found that skewness and kurtosis have not changed …

The central market hypothesis is important in the analysis of market integration because it
implies a specific market structure while avoiding a simultaneity problem. However, despite its …

We analyze whether Pakistan has become one domestically integrated rice market and whether
Pakistan’s rice markets are integrated with the international markets, using monthly data …