Exploiting the dynamics of commodity futures curves
Year of publication: |
2023
|
---|---|
Authors: | Bianchi, Robert ; Fan, John Hua ; Miffre, Joëlle ; Zhang, Tingxi |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 154.2023, p. 1-15
|
Subject: | Commodity futures | Nelson-Siegel model | Slope strategy | Spread | Rohstoffderivat | Commodity derivative | Zinsstruktur | Yield curve | Warenbörse | Commodity exchange | Theorie | Theory |
-
Time-Varying Risk Premiums and Term Premiums in Commodity Futures
Chaves, Denis B., (2017)
-
Catching the curl : wavelet thresholding improves forward curve modelling
Power, Gabriel J., (2017)
-
Time-varying term structure of oil risk premia
Cortazar, Gonzalo, (2022)
- More ...
-
Investable commodity premia in China
Bianchi, Robert, (2021)
-
Exploiting the Dynamics of Commodity Futures Curves
Bianchi, Robert J., (2021)
-
The untold story of commodity futures in China
Fan, John Hua, (2019)
- More ...