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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

Precious metals, oil and the exchange rate : contemporaneous spillovers

Fernandez-Perez, Adrian; Frijns, Bart; Tourani Rad, Alireza - In: Applied economics 49 (2017) 38, pp. 3863-3879

Persistent link: https://www.econbiz.de/10011819949

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

Intraday return and volatility spill-over across international copper futures markets

Lien, Da-hsiang Donald; Li, Yang - In: International journal of managerial finance : IJMF 5 (2009) 1, pp. 135-149

Persistent link: https://www.econbiz.de/10003935287

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

Commodity, strategies based on momentum, term structure, and idiosyncratic volatility

Fuertes, Ana María; Miffre, Joëlle; Fernandez-Perez, … - In: The journal of futures markets 35 (2015) 3, pp. 274-297

Persistent link: https://www.econbiz.de/10011348423

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