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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

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

Convergence to efficiency in FTSE-100 futures market

Lien, Da-hsiang Donald; Xiang, Ju - In: International journal of financial markets and derivatives 1 (2010) 3, pp. 243-257

Persistent link: https://www.econbiz.de/10008665689

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

Hedging long-term commodity risk : a comment

Lien, Da-hsiang Donald; Wang, Yan - In: The journal of futures markets 24 (2004) 11, pp. 1093-1099

Persistent link: https://www.econbiz.de/10002248560

A survey on physical delivery versus cash settlement in futures contracts

Lien, Da-hsiang Donald; Tse, Yiu Kuen - In: International review of economics & finance : IREF 15 (2006) 1, pp. 15-29

Persistent link: https://www.econbiz.de/10003298476