Similar Search Results

Herding, information cascades and volatility spillovers in futures markets

McAleer, Michael; Radalj, Kim - 2013

Persistent link: https://www.econbiz.de/10009784945

Long-run reversal in commodity returns : insights from seven centuries of evidence

Zaremba, Adam; Bianchi, Robert; Mikutowski, Mateusz - In: Journal of banking & finance 133 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10013256444

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

Investable commodity premia in China

Bianchi, Robert; Fan, John Hua; Zhang, Tingxi - In: Journal of banking & finance 127 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012820586

Are there common factors in individual commodity futures returns?

Daskalaki, Charoula; Kostakis, Alexandros; … - In: Journal of banking & finance 40 (2014), pp. 346-363

Persistent link: https://www.econbiz.de/10010402662

Commodity and equity markets : some stylized facts from a copula approach

Delatte, Anne-Laure; Lopez, Claude - In: Journal of banking & finance 37 (2013) 12, pp. 5346-5356

Persistent link: https://www.econbiz.de/10010343717

Exploiting commodity momentum along the futures curves

Groot, Wilma de; Karstanje, Dennis; Zhou, Weili - In: Journal of banking & finance 48 (2014), pp. 79-93

Persistent link: https://www.econbiz.de/10010506936

Do commodities add value in multi-asset portfolios? : an out-of-sample analysis for different investment strategies

Bessler, Wolfgang; Wolff, Dominik - In: Journal of banking & finance 60 (2015), pp. 1-20

Persistent link: https://www.econbiz.de/10011544827

Do oil futures prices predict stock returns?

Chiang, I-Hsuan Ethan; Hughen, W. Keener - In: Journal of banking & finance 79 (2017), pp. 129-141

Persistent link: https://www.econbiz.de/10011815141

Curve momentum

Paschke, Raphael; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 113 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012226133