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Cartea, Álvaro - 2015

Agents who acknowledge that their models are incorrectly specified are said to be ambiguity averse, and this affects the prices they are willing to trade at. Models for prices of commodities attempt to capture three stylized features: seasonal trend, moderate deviations (a diffusive factor), and...

Persistent link: https://www.econbiz.de/10013022682

Momentum and Mean-Reversion in Commodity Spot and Futures Markets

Chaves, Denis B. - 2016

We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices. We find that momentum performs well in futures markets, but not in spot markets, and that mean-reversion performs well in spot markets, but...

Persistent link: https://www.econbiz.de/10012984051

Commodities price cycles and their interdependence with equity markets

Boako, Gideon; Alagidede, Imhotep Paul; Sjo, Bo; Uddin, … - In: Energy economics 91 (2020), pp. 1-26

Persistent link: https://www.econbiz.de/10012518586

Long-run reversal in commodity returns : insights from seven centuries of evidence

Zaremba, Adam; Bianchi, Robert; Mikutowski, Mateusz - In: Journal of banking & finance 133 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10013256444

Financialisation of commodities : empirical evidence from the Indian financial market

Shamsher, Salim - In: IIMB management review 33 (2021) 1, pp. 38-49

Persistent link: https://www.econbiz.de/10013205184

Does Bitcoin hedge crude oil implied volatility and structural shocks? : a comparison with gold, commodity and the US Dollar

Das, Debojyoti; Le Roux, Corlise L.; Jana, R. K.; … - In: Finance research letters 36 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012483345

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

Price volatility, the maturity effect, and global oil prices : evidence from Chinese commodity futures markets

Ao, Jing; Chen, Jihui - In: Journal of economics and finance : JEF 44 (2020) 4, pp. 627-654

Persistent link: https://www.econbiz.de/10012297012

Impact of speculation and economic uncertainty on commodity markets

Andreasson, Pierre; Bekiros, Stelios; Nguyen, Duc Khuong; … - In: International review of financial analysis 43 (2016), pp. 115-127

Persistent link: https://www.econbiz.de/10011623721

Further evidence on the explanatory power of spot food and energy commodities market prices for futures prices

Cartwright, Phillip A.; Riabko, Natalija - In: Review of quantitative finance and accounting 47 (2016) 3, pp. 579-605

Persistent link: https://www.econbiz.de/10011595689