Exploiting commodity momentum along the futures curves
Year of publication: |
2014
|
---|---|
Authors: | de Groot, Wilma ; Karstanje, Dennis ; Zhou, Weili |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 48.2014, C, p. 79-93
|
Publisher: |
Elsevier |
Subject: | Commodity futures | Momentum | Term structure | Futures curve | Roll yield | Transaction costs |
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