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Permutation-weighted portfolios and the efficiency of commodity futures markets
Fernholz, Ricardo T.; Fernholz, Robert - In: Annals of finance 18 (2022) 1, pp. 81-108
Persistent link: https://www.econbiz.de/10013194634
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The commodity futures' historical basis in trading strategy and portfolio investment
Pu, Yingjian; Yang, Baochen - In: Energy economics 105 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013201968
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Do Long-Short Speculators Destabilize Commodity Futures Markets?
Miffre, Joëlle - 2015
This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long-short commodity portfolios and their conditional correlations with traditional assets (stocks and bonds). Using several groups of trading...
Persistent link: https://www.econbiz.de/10013035764
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A trend factor in commodity futures markets : any economic gains from using information over investment horizons?
Han, Yufeng; Kong, Lingfei - In: The journal of futures markets 42 (2022) 5, pp. 803-822
Persistent link: https://www.econbiz.de/10013187602
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The alpha momentum effect in commodity markets
Zaremba, Adam; Mikutowski, Mateusz; Szczygielski, Jan Jakub - In: Energy economics 93 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012643310
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Mean-variance hedging with oil futures
Wang, Liao; Wissel, Johannes Stefan - In: Finance and stochastics 17 (2013) 4, pp. 641-683
Persistent link: https://www.econbiz.de/10010190888
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Hedging the downside risk of commodities through cryptocurrencies
Naeem, Muhammad Abubakr; Farid, Saqib; Balli, Faruk; … - In: Applied economics letters 28 (2021) 2, pp. 153-160
Persistent link: https://www.econbiz.de/10012415106
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Optimal trading of a basket of futures contracts
Angoshtari, Bahman; Leung, Tim - In: Annals of finance 16 (2020) 2, pp. 253-280
Persistent link: https://www.econbiz.de/10012496334
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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 …
Persistent link: https://www.econbiz.de/10012305145
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Pairs trading of Chinese and international commodities
Fernandez-Perez, Adrian; Frijns, Bart; Indriawan, Ivan; … - In: Applied economics 52 (2020) 48, pp. 5203-5217
Persistent link: https://www.econbiz.de/10012307208