Similar Search Results

Adeinat, Iman - 2011

Petroleum Exporting Countries (OPEC), and the US Dollar exchange rate volatility on the backwardation of crude oil futures … backwardated 57% and 69% of the time, respectively. The regression analysis of weak backwardation shows that oil volatility, OPEC … have a positive significant effect on oil backwardation, while OPEC production quota imposed on its members has a negative …

Persistent link: https://www.econbiz.de/10009451067

Can economic factors improve momentum trading strategies? The case of managed futures during the COVID-19 pandemic

Guobužaitė, Renata; Teresienė, Deimantė - In: Economies 9 (2021) 2, pp. 1-16

Systematic momentum trading is a prevalent risk premium strategy in different portfolios. This paper focuses on the performance of the managed futures strategy based on the momentum signal across different economic regimes, focusing on the COVID-19 pandemic period. COVID-19 had a solid but...

Persistent link: https://www.econbiz.de/10013199824

Determinants of backwardation in oil futures

Adeinat, Iman; Al Rahahleh, Naseem M. - In: International journal of business 20 (2015) 4, pp. 326-345

Persistent link: https://www.econbiz.de/10011408881

Can economic factors improve momentum trading strategies? : the case of managed futures during the COVID-19 pandemic

Guobužaitė, Renata; Teresienė, Deimantė - In: Economies : open access journal 9 (2021) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10012548302

Commodity storage under backwardation : does the working curve still work?

Joseph, Kishore; Irwin, Scott H.; García, Philip - In: Applied economic perspectives and policy 38 (2016) 1, pp. 152-173

Persistent link: https://www.econbiz.de/10011616453

Introducing stylized facts on electricity futures through a market impact model

Krause, Jakob - In: The journal of energy markets 13 (2020) 1, pp. 31-46

Persistent link: https://www.econbiz.de/10012597034

Cheap money, geopolitics and supernormal backwardation of the WTI forward curve

El-Gamal, Mahmoud A.; Jaffe, Amy Myers; Medlock, … - In: Economics of energy & environmental policy 12 (2023) 1, pp. 57-79

Persistent link: https://www.econbiz.de/10014423663

Commodities and the Market Price of Risk

Roache, Shaun K. - International Monetary Fund (IMF) - 2008

Commodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper, I assess the macro risk exposure offered by commodity...

Persistent link: https://www.econbiz.de/10005826345

Forecasting Accuracy of Crude Oil Futures Prices

Kumar, Manmohan S. - International Monetary Fund (IMF) - 1991

This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared...

Persistent link: https://www.econbiz.de/10005599690

Commodity Storage under Backwardation: Does the Working Curve Still Work?

Joseph, Kishore; Irwin, Scott H.; Garcia, Philip - Agricultural and Applied Economics Association - AAEA

We investigate storage in the presence of backwardation and the existence of the Working curve for CBOT corn, soybeans …

Persistent link: https://www.econbiz.de/10009021121