Adaptive expectations and commodity risk premiums
Year of publication: |
2021
|
---|---|
Authors: | Bianchi, Daniele |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 124.2021, p. 1-22
|
Subject: | Commodity markets | Empirical asset pricing | Hedging pressure | Time series momentum | Adaptive expectations | Risikoprämie | Risk premium | Hedging | Volatilität | Volatility | Erwartungsbildung | Expectation formation | Adaptive Erwartungen | Rohstoffderivat | Commodity derivative | Warenbörse | Commodity exchange | Rationale Erwartung | Rational expectations | Rohstoffmarkt | Commodity market | Zeitreihenanalyse | Time series analysis | CAPM |
-
Adaptive Expectations and Commodity Risk Premia
Bianchi, Daniele, (2018)
-
How do bond, equity and commodity cycles interact?
Narayan, Paresh Kumar, (2017)
-
Portfolio speculation and commodity price volatility in a stochastic storage model
Vercammen, James Alfred, (2014)
- More ...
-
On the performance of cryptocurrency funds
Bianchi, Daniele, (2021)
-
Trading volume and liquidity provision in cryptocurrency markets
Bianchi, Daniele, (2022)
-
Bianchi, Daniele, (2013)
- More ...