Picking winners to pick your winners : The momentum effect in commodity risk factors
Year of publication: |
2019
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Authors: | Zaremba, Adam ; Mikutowski, Mateusz ; Karathanasopoulos, Andreas ; Osman, Mohamed |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 50.2019, p. 1-13
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Subject: | Commodities | Factor momentum | Futures pricing | Return predictability | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Rohstoffderivat | Commodity derivative | Prognoseverfahren | Forecasting model | CAPM | Risiko | Risk | Schätzung | Estimation |
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