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Dynamic commodity portfolio management : a regime-switching VAR model

Singhal, Shelly; Biswal, Pratap Chandra - In: Global business review 22 (2021) 2, pp. 532-549

Persistent link: https://www.econbiz.de/10012520247

Commodities price cycles and their interdependence with equity markets

Boako, Gideon; Alagidede, Imhotep Paul - 2021

Persistent link: https://www.econbiz.de/10012631215

Extreme price moves : an INGARCH approach to model coexceedances in commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: European review of agricultural economics 48 (2021) 4, pp. 878-914

Persistent link: https://www.econbiz.de/10012618810

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

The "necessary evil" in Chinese commodity markets

Fan, John Hua; Mo, Di; Zhang, Tingxi - In: Journal of commodity markets 25 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013204452

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

Common factors of commodity prices

Delle Chiaie, Simona; Ferrara, Laurent; Giannone, Domenico - In: Journal of applied econometrics 37 (2022) 3, pp. 461-476

Persistent link: https://www.econbiz.de/10013186690

A Model of Financialization of Commodities

Basak, Suleyman - 2015

A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets, referred to as the financialization of commodities. In this paper, we explore the effects of financialization in a model that...

Persistent link: https://www.econbiz.de/10013036073

Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets

Dhaene, Geert; Sercu, Piet; Wu, Jianbin - In: The journal of futures markets 42 (2022) 5, pp. 868-887

Persistent link: https://www.econbiz.de/10013187611

Energy commodity price risk minimization with precious metals in a multivariate portfolio

Živkov, Dejan; Damnjanović, Jelena; … - In: Finance a úvěr 72 (2022) 1, pp. 50-70

Persistent link: https://www.econbiz.de/10013189236

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