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Is Idiosyncratic Volatility Priced in Commodity Futures Markets?

Fernandez-Perez, Adrian - 2019

This article investigates the relationship between expected returns and past idiosyncratic volatility in commodity futures markets. Measuring the idiosyncratic volatility of 27 commodity futures contracts with traditional pricing models that fail to account for backwardation and contango leads...

Persistent link: https://www.econbiz.de/10012905579

The skewness of commodity futures returns

Fernandez-Perez, Adrian; Frijns, Bart; Fuertes, Ana María - In: Journal of banking & finance 86 (2018), pp. 127-142

Persistent link: https://www.econbiz.de/10011962440

Commodity currencies and the real exchange rate

Cashin, Paul A.; Céspedes, Luis Felipe; Sahay, Ratna - In: Exchange rate analysis in support of IMF surveillance : …, (pp. 3-40). 2008

Persistent link: https://www.econbiz.de/10003758202

Commodity currencies and the real exchange rate

Cashin, Paul A.; Céspedes, Luis Felipe; Sahay, Ratna - 2003

Persistent link: https://www.econbiz.de/10002117253

Properties of international commodity prices : identifying trends, cycles and shocks

Cashin, Paul A.; McDermott, C. John - In: Agricultural commodity markets and trade : new …, (pp. 16-30). 2006

Persistent link: https://www.econbiz.de/10003393949

Fair weather or foul? : the macroeconomic effects of El Niño

Cashin, Paul A.; Mohaddes, Kamiar; Raissi, Mehdi - 2015

Persistent link: https://www.econbiz.de/10011281172

Fair weather or foul? : the macroeconomic effects of El Niño

Cashin, Paul A.; Mohaddes, Kamiar; Raissi, Mehdi - 2014

Persistent link: https://www.econbiz.de/10010405582

Commodity currencies and the real exchange rate

Cashin, Paul A.; Céspedes, Luis Felipe; Sahay, Ratna - In: Journal of development economics 75 (2004) 1, pp. 239-268

Persistent link: https://www.econbiz.de/10002224180

The long-run behavior of commodity prices : small trends and big variability

Cashin, Paul A.; McDermott, C. John - 2001

Persistent link: https://www.econbiz.de/10001596908

The long-run behavior of commodity prices : small trends and big variability

Cashin, Paul A.; McDermott, C. John - In: IMF staff papers 49 (2002) 2, pp. 175-199

Persistent link: https://www.econbiz.de/10001685360

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