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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

[Rezension von: Radetzki, Marian, A handbook of primary commodities in the global economy]

Cuddington, John T. - In: Journal of economic literature 46 (2008) 4, pp. 1032-1035

Persistent link: https://www.econbiz.de/10003864976

Long-term trends in the real real prices of primary commodities : inflation bias and the Prebisch-Singer hypothesis

Cuddington, John T. - In: Resources policy 35 (2010) 2, pp. 72-76

Persistent link: https://www.econbiz.de/10003975056

Prebisch-Singer redux

Cuddington, John T.; Ludema, Rodney D.; Jayasuriya, … - In: Natural resources : neither curse nor destiny, (pp. 103-140). 2007

Persistent link: https://www.econbiz.de/10003394614

Prebisch-Singer redux

Cuddington, John T. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002122139

Prebisch-Singer redux

Cuddington, John T.; Ludema, Rodney D.; Jayasuriya, … - 2002

Persistent link: https://www.econbiz.de/10001699589

Will the emergence of the Euro affect world commodity prices?

Cuddington, John T.; Liang, Hong - 2000

Persistent link: https://www.econbiz.de/10001506781

Will the emergence of the euro affect world commodity prices?

Cuddington, John T.; Liang, Hong - In: The impact of EMU on Europe and the developing …, (pp. 339-365). 2001

Persistent link: https://www.econbiz.de/10001751890

Will the emergence of the euro affect world commodity prices?

Cuddington, John T.; Liang, Hong - 2000

Persistent link: https://www.econbiz.de/10001563032

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