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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

Hedging with Chinese metal futures

Lien, Da-hsiang Donald; Li, Yang - In: Global finance journal 19 (2008) 2, pp. 123-138

Persistent link: https://www.econbiz.de/10003756887

Asymmetric effect of basis on dynamic futures hedging : empirical evidence from commodity markets

Lien, Da-hsiang Donald; Li, Yang - In: Journal of banking & finance 32 (2008) 2, pp. 187-198

Persistent link: https://www.econbiz.de/10003647092

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10003949493

Time-Varying spot and futures oil prices dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

Persistent link: https://www.econbiz.de/10003963295

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10003965099

Estimating optimal hedge ratio : a multivariate skew-normal distribution approach

Lien, Da-hsiang Donald; Shrestha, Keshab - In: Applied financial economics 20 (2010) 7/9, pp. 627-636

Persistent link: https://www.econbiz.de/10009009324

The case for long-short commodity investing

Miffre, Joëlle; Fernandez-Perez, Adrian - In: The journal of alternative investments 18 (2015/2016) 1, pp. 92-104

Persistent link: https://www.econbiz.de/10011307946

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - In: Scottish journal of political economy : the journal of … 61 (2014) 1, pp. 78-97

Persistent link: https://www.econbiz.de/10010473350

Hedging effectiveness comparisons : a note

Lien, Da-hsiang Donald; Shrestha, Keshab - In: International review of economics & finance : IREF 17 (2008) 3, pp. 391-396

Persistent link: https://www.econbiz.de/10003749652

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