I develop and test a model to study the interaction between the commodity and stock markets. This study attempts to clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is determined by hedging pressure, stock market returns, and...

This collection of articles covers the commodity derivatives markets from a broadly conceptual perspective. Specifically, this set of articles reviews (a) the potentially persistent sources of return in the commodity futures markets; (b) the differing risk-management priorities for commercial...

Should an investor enter into long-term positions in oil futures contracts? In answering this question, this paper will cover the following three considerations: (1) the case for structural positions in crude oil futures contracts; (2) useful indicators for avoiding crash risk; and (3) financial...

This paper will argue that one can intelligently invest in the commodity markets and will briefly touch on three approaches, which in turn are drawn from “Intelligent Commodity Investing” (Risk Books, 2007). The first two sections of this paper will discuss two historically profitable...

The paper discusses the practical issues involved in applying a disciplined risk management methodology to futures trading. Specifically, the paper shows how to apply methodologies derived from both conventional asset management and hedge fund management to futures trading as well as discussing...

We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, we implement a generalized least squares method that allows us to clearly distinguish among time-to-delivery...