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Portfolio speculation and commodity price volatility in a stochastic storage model

Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532

Persistent link: https://www.econbiz.de/10010411908

Understanding momentum in commodity markets

Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402

Persistent link: https://www.econbiz.de/10010203400

Does Bitcoin hedge commodity uncertainty?

Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14

. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total … transmitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest …

Persistent link: https://www.econbiz.de/10012305145

Commodities returns' volatility in financialization era

Handika, Rangga; Putra, Iswahyudi Sondi - In: Studies in economics and finance 34 (2017) 3, pp. 344-362

Persistent link: https://www.econbiz.de/10011961063

Co-movements in commodity markets andimplications in diversification benefits

Cai, Xiao Jing; Fang, Zheng; Youngho, Chang; Tian, Shuairu - In: Empirical economics : a journal of the Institute for … 58 (2020) 2, pp. 393-425

Persistent link: https://www.econbiz.de/10012219019

Commodity Momentum Decomposition

Iwanaga, Yasuhiro; Sakemoto, Ryuta - 2022

This study decomposes a momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and...

Persistent link: https://www.econbiz.de/10013403618