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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

Commodity Price Risk Management and Fiscal Policy in a Sovereign Default Model

Lopez-Martin, Bernabe - 2017

Commodity prices are an important driver of fiscal policy and the business cycle in many developing and emerging market economies. We analyze a dynamic stochastic small-open-economy model of sovereign default, featuring endogenous fiscal policy and stochastic commodity revenues. The model...

Persistent link: https://www.econbiz.de/10012960198

Commodity price risk management and fiscal policy in a sovereign default model

Lopez-Martin, Bernabe; Leal, Julio; Fritscher, André … - 2017

Commodity prices are an important driver of fiscal policy and the business cycle in many developing economies. We analyze a dynamic stochastic small-open-economy model of sovereign default, featuring endogenous fiscal policy and stochastic commodity revenues. The model accounts for a positive...

Persistent link: https://www.econbiz.de/10011630790

Commodity price risk management and fiscal policy in a sovereign default model

Lopez-Martin, Bernabe; Leal, Julio; Fritscher, Andre … - In: Journal of international money and finance 96 (2019), pp. 304-323

Persistent link: https://www.econbiz.de/10012139835

Commodity price risk management and fiscal policy in a sovereign default model

Lopez-Martin, Bernabe; Leal, Julio; Martinez Fritscher, … - 2017

Persistent link: https://www.econbiz.de/10011752649

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

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

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