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Trading-hour and day-of-the-week effects in grain futures returns
Liu, Shi-Miin - In: Review of futures markets 13 (1994) 3, pp. 861-896
Persistent link: https://www.econbiz.de/10001169327
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The systematic risk of futures contracts
Kolb, Robert W. - In: The journal of futures markets 16 (1996) 6, pp. 631-654
Persistent link: https://www.econbiz.de/10001207046
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The time-varying response of foreign stock markets to US monetary policy surprises : evidence from the Federal funds futures market
Kishor, N. Kundan; Marfatia, Hardik A. - In: Journal of international financial markets, … 24 (2013), pp. 1-24
Persistent link: https://www.econbiz.de/10009726483
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A study of call price behavior under a stationary return generating process
Chang, Suckjeong J. - In: The financial review : the official publication of the … 24 (1989) 3, pp. 335-354
Persistent link: https://www.econbiz.de/10001103624
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Dividend surprises inferred from option and stock prices
Bar-Yosef, Sasson - In: The journal of finance : the journal of the American … 47 (1992) 4, pp. 1623-1640
Persistent link: https://www.econbiz.de/10001133677
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The valuation effects of warrant extensions
Howe, John S. - In: The journal of finance : the journal of the American … 48 (1993) 1, pp. 305-314
Persistent link: https://www.econbiz.de/10001141541
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Long-Term Sources of Return in the Commodity Futures Markets : Evidence from the Grain Markets
Till, Hilary - 2015
and Till (2006) find that in examining a 55-year period in three grain futures markets that the term-structure of an … stability, grain commodity futures prices have been naturally mean-reverting, meaning that sources of return obviously could not …
Persistent link: https://www.econbiz.de/10013022021
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The impact of deviations from soybean product crushing estimates on return and risk
Abdoh, Hussein; Chitavi, Michael - In: Agricultural economics : the journal of the … 55 (2024) 2, pp. 181-199
Persistent link: https://www.econbiz.de/10014517518
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Macro News and Commodity Returns
Caporale, Guglielmo Maria - 2015
This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...
Persistent link: https://www.econbiz.de/10013014894
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Macro News and Commodity Returns
Caporale, Guglielmo Maria - 2015
This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...
Persistent link: https://www.econbiz.de/10013012526