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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

Prices of commodities in 1913

Sauerbeck, A. - In: Journal of the Royal Statistical Society 77 (1914) 5, pp. 556-570

Persistent link: https://www.econbiz.de/10009777550

Prices of commodities in 1912

Sauerbeck, A. - In: Journal of the Royal Statistical Society 76 (1913) 4, pp. 396-409

Persistent link: https://www.econbiz.de/10009777552

Prices of commodities in 1911

Sauerbeck, A. - In: Journal of the Royal Statistical Society 75 (1912) 4, pp. 412-425

Persistent link: https://www.econbiz.de/10009777553

Prices of commodities in 1910

Sauerbeck, A. - In: Journal of the Royal Statistical Society 74 (1911) 4, pp. 408-420

Persistent link: https://www.econbiz.de/10009777555

Prices of commodities in 1909

Sauerbeck, A. - In: Journal of the Royal Statistical Society 73 (1910) 3, pp. 315-329

Persistent link: https://www.econbiz.de/10009777557

Prices of commodities in 1908

Sauerbeck, A. - In: Journal of the Royal Statistical Society 72 (1909) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10009777559

Prices of commodities in 1907

Sauerbeck, A. - In: Journal of the Royal Statistical Society 71 (1908) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10009777561

Prices of commodities in 1906

Sauerbeck, A. - In: Journal of the Royal Statistical Society 70 (1907) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10009777563

Prices of commodities in 1894

Sauerbeck, A. - In: Journal of the Royal Statistical Society 58 (1895) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10009777565