Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - Dipartimento di Scienze Economiche e Aziendali, … - 2012
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …