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Too much of a good thing? : speculative effects on commodity futures curves
Van Huellen, Sophie - In: Journal of financial markets 47 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012631776
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Curve momentum
Paschke, Raphael; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 113 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012226133
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Active trading strategies based on momentum and term structure signals in commodity futures market : evidence from India
Jaiswal, Ritika - In: Afro-Asian Journal of Finance and Accounting : AAJFA 11 (2021) 1, pp. 131-150
Persistent link: https://www.econbiz.de/10012503940
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Do oil futures prices predict stock returns?
Chiang, I-Hsuan Ethan; Hughen, W. Keener - In: Journal of banking & finance 79 (2017), pp. 129-141
Persistent link: https://www.econbiz.de/10011815141
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Convenience yield risk
Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: Energy economics 120 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014283248
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Tactical allocation in commodity futures markets : combining momentum and term structure signals
Fuertes, Ana María; Miffre, Joëlle; Rallis, Georgios - In: Journal of banking & finance 34 (2010) 10, pp. 2530-2548
Persistent link: https://www.econbiz.de/10008858295
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Predicting changes in T-bond futures spreads using implied yields from T-bill futures
Akemann, Charles A. - In: The journal of futures markets 6 (1986) 2, pp. 223-230
Persistent link: https://www.econbiz.de/10003475237
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Predicting commodity-futures basis factor return by basis spread
Daehwan, Kim - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 587-615
Persistent link: https://www.econbiz.de/10011470985
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Exploiting commodity momentum along the futures curves
de Groot, Wilma; Karstanje, Dennis; Zhou, Weili - In: Journal of Banking & Finance 48 (2014) C, pp. 79-93
This study examines novel momentum strategies in commodities futures markets that incorporate term …-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll …-yield or the strongest momentum earn significantly higher risk-adjusted returns than a traditional momentum strategy, which …
Persistent link: https://www.econbiz.de/10011077984
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Sharpe-optimal volatility futures carry
Uhl, Björn - In: The journal of asset management : a major new, … 25 (2024) 3, pp. 288-302
Persistent link: https://www.econbiz.de/10014583405