Concepedia

Commodity Option Volatility Forecasting

Commodity Option Volatility Forecasting is a quantitative method within financial econometrics that specifically models and predicts the future volatility of options derived from physical commodities by leveraging historical price dynamics, implied volatility indicators, and market sentiment factors unique to commodity markets.

6

Publications

281

Citations

10

Authors

7

Institutions

Publications per year

2017–2026

1

Parents

Publications

6

Forecasting volatility in commodity markets

Kenneth F. Kroner, Kevin Patrick Kneafsey, Stijn Claessens · Journal of Forecasting · 1995 · 119 citations

, , +17

COVID-19 impact on commodity futures volatilities

Yongmin Zhang, Wang RuiZhi · Finance research letters · 2021 · 53 citations · Full text

, , +17

Forecasting volatility in commodity markets

Long Range Planning · 1995 · 38 citations

, , +17

Implied volatility forecasts in the grains complex

David P. Simon · Journal of Futures Markets · 2002 · 31 citations

, , +16

Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options

Thorsten M. Egelkraut, Philip Garcia · AgEcon Search (University of Minnesota, USA) · 2005 · 25 citations · Full text

, , +16

1–5 of 6

Authors

10

  1. WR
    Wang RuiZhi

    Ningbo University, China

    1 publications · 53 citations

    1

    h-index

  2. RJ
    Robert J. Hauser

    University of Illinois Urbana-Champaign, United States

    1 publications · 15 citations

    1

    h-index

  3. DP
    David P. Simon

    Bentley University, United States

    1 publications · 31 citations

    1

    h-index

  4. YZ
    Yongmin Zhang

    Zhejiang University, China

    1 publications · 53 citations

    1

    h-index

  5. TM
    Thorsten M. Egelkraut

    Oregon State University, United States

    1 publications · 25 citations

    1

    h-index

1–5 of 10

Institutions

7

  1. University of Illinois Urbana-Champaign

    Urbana, United States

    2 h-index

    3 publications

    55 citations

  2. Bentley University

    Waltham, United States

    1 h-index

    1 publications

    31 citations

  3. Agricultural & Applied Economics Association

    Milwaukee, United States

    1 h-index

    1 publications

    15 citations

  4. Oregon State University

    Corvallis, United States

    1 h-index

    1 publications

    25 citations

  5. World Bank

    Washington, United States

    1 h-index

    1 publications

    119 citations

  6. Wells Fargo (United States)

    San Francisco, United States

    1 h-index

    2 publications

    238 citations

  7. Ningbo University

    Ningbo, China

    1 h-index

    2 publications

    106 citations

1–7 of 7

Venues

  1. Journal of Futures Markets

    1 publications · 31 citations

    1

    h-index

  2. Finance research letters

    1 publications · 53 citations

    1

    h-index

  3. Long Range Planning

    1 publications · 38 citations

    1

    h-index

  4. Journal of Forecasting

    1 publications · 119 citations

    1

    h-index

  5. AgEcon Search (University of Minnesota, USA)

    Repository · 1 publications · 25 citations

    1

    h-index

1–5