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Exploring the unpredictable nature of climate policy uncertainty : an empirical analysis of its impact on commodity futures returns in the United States

Tang, Chia-Hsien; Lee, Yen-Hsien; Liu, Hung-Chun; Zeng, … - In: The journal of futures markets 44 (2024) 7, pp. 1277-1292

Persistent link: https://www.econbiz.de/10014553986

Anlage- und Portfolioeigenschaften von Commodities am Beispiel des GSCI

Rudolf, Markus - In: Finanzmarkt und Portfolio-Management 7 (1993) 3, pp. 339-359

Persistent link: https://www.econbiz.de/10001219147

A Model-based Commodity Risk Measure on Commodity and Stock Market Returns

Hou, Ai Jun; Platanakis, Emmanouil; Ye, Xiaoxia; Zhou, Guofu - 2022

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term … structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets …

Persistent link: https://www.econbiz.de/10014239736

Do asset prices reflect fudamentals? : freshly squeezed evidence from the OJ market

Boudoukh, Jacob; Richardson, Matthew; Shen, YuQing; … - In: Journal of financial economics 83 (2007) 2, pp. 397-412

Persistent link: https://www.econbiz.de/10003425461

Conditional correlations and volatility spillovers between crude oil and stock index returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669344

Conditional correlations and volatility spillovers between crude oil and stock index returns

Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10003987330

Economic linkages, relative scarcity, and commodity futures returns

Casassus, Jaime; Liu, Peng; Tang, Ke - In: The review of financial studies 26 (2013) 5, pp. 1324-1362

Persistent link: https://www.econbiz.de/10009752184

Do asset prices reflect fundamentals? : Freshly squeezed evidence from the OJ market

Boudoukh, Jacob; Richardson, Matthew; Shen, YuQing; … - 2003

Persistent link: https://www.econbiz.de/10001738945

Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?

Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70

Persistent link: https://www.econbiz.de/10012202481

Trend following, risk parity and momentum in commodity futures

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2012

Persistent link: https://www.econbiz.de/10009663202

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