Idiosyncratic volatility in commodity futures markets : measurement and puzzle
Year of publication: |
2023
|
---|---|
Authors: | Hong, Liu ; Zhou, Tianpeng |
Published in: |
Managerial finance. - Bingley : Emerald, ISSN 1758-7743, ZDB-ID 2047612-7. - Vol. 49.2023, 10, p. 1641-1672
|
Subject: | Commodity futures | Idiosyncratic volatility | Long-term risk factors | Short-term risk factors | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Risikoprämie | Risk premium | Risiko | Risk | Kapitaleinkommen | Capital income | CAPM | Warenbörse | Commodity exchange |
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