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JEL Code: Q02

21,241 Total downloads

Viewing: 1 - 50 of 187 papers

1.

Commodities for the Long Run

Number of pages: 24 Posted: 21 Oct 2016 Last Revised: 27 Jul 2017
Working Paper Series
AQR Capital Management, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 1,616
2.

The Economic Impact of Index Investing

Review of Financial Studies, Forthcoming
Number of pages: 85 Posted: 26 Sep 2015 Last Revised: 12 Feb 2019
Working Paper Series
University of Utah - David Eccles School of Business, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,265
3.

The Financial Regulation of European Wholesale Energy and Environmental Markets

USAEE Working Paper No. 11-070
Number of pages: 28 Posted: 06 Mar 2011
Working Paper Series
University of Otago - School of Business, European University Institute (EUI) and Bangor Business School
Downloads 735
4.

Oil Volatility Risk and Expected Stock Returns

Rotman School of Management Working Paper No. 2399677
Number of pages: 54 Posted: 23 Feb 2014 Last Revised: 04 Dec 2014
Working Paper Series
University of Toronto - Rotman School of Management and Tulane University
Downloads 715
5.

Strategies Based on Momentum and Term Structure in Financialized Commodity Markets

Business and Economics Research Journal, 2016, vol. 7, no. 1, pp. 31-46.
Number of pages: 16 Posted: 23 Jul 2014 Last Revised: 09 Apr 2016
Accepted Paper Series
Pozna? University of Economics and Business
Downloads 696
6.

Commodities as Collateral

Forthcoming, Review of Financial Studies
Number of pages: 54 Posted: 17 Nov 2013 Last Revised: 19 Apr 2016
Accepted Paper Series
Tsinghua University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 628
7.

Pairs Trading to the Commodities Futures Market Using Cointegration Method

International Journal of Commerce and Finance, Vol. 1, Issue 1, 2015, 25-38
Number of pages: 14 Posted: 15 Jan 2017
Accepted Paper Series
Istanbul Commerce University, Students
Downloads 606
8.

Factor Structure in Commodity Futures Return and Volatility

Rotman School of Management Working Paper No. 2495779
Number of pages: 64 Posted: 14 Sep 2014 Last Revised: 26 Jun 2017
Working Paper Series
University of Toronto - Rotman School of Management, Aarhus University - School of Economics and Management and CREATES
Downloads 591
9.

Hedging Pressure and Speculation in Commodity Markets

Economic Theory, Forthcoming
Number of pages: 41 Posted: 10 Sep 2013 Last Revised: 30 Apr 2018
Accepted Paper Series
University of British Columbia (UBC) - Faculty of Education, University Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 545
10.

Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach

Number of pages: 35 Posted: 10 Mar 2011 Last Revised: 01 May 2011
Working Paper Series
University of Washington - Department of Economics and Academia Sinica - Institute of Economics
Downloads 460
11.

Fertilizer Fuels Food Prices: Identification Through the Oil-Gas Spread

Number of pages: 14 Posted: 14 Jul 2016 Last Revised: 30 Sep 2016
Working Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management and Vistula University
Downloads 366
12.

Drilling and Debt

Darden Business School Working Paper No. 2939603
Number of pages: 48 Posted: 24 Mar 2017 Last Revised: 22 Aug 2017
Working Paper Series
University of Pennsylvania - The Wharton School, University of Virginia - Darden School of Business and University of Virginia - Darden School of Business
Downloads 342
13.

Estudio Sobre El Sector De Fertilizantes En Colombia (The Fertilizer Sector in Colombia)

Estudios Económicos Superintendencia de Industria y Comercio, No. 6, October 2013,
Number of pages: 201 Posted: 16 May 2014
Working Paper Series
Superintendencia de Industria y Comercio, Universidad Catolica de Colombia, Superintendencia de Industria y Comercio and Fundación Universitaria Konrad Lorenz
Downloads 338
14.

Determinants of Volatile Commodity Prices

Number of pages: 27 Posted: 16 Jan 2013 Last Revised: 17 Jan 2013
Working Paper Series
ICRIER
Downloads 321
15.

Portfolio Diversification with Commodities in Times of Financialization

International Journal of Finance & Banking Studies, 2015, vol. 4, no. 1, pp. 18-36
Number of pages: 19 Posted: 05 Nov 2013 Last Revised: 05 Mar 2015
Accepted Paper Series
Pozna? University of Economics and Business
Downloads 316
16.

Oil and Debt

BIS Quarterly Review March 2015
Number of pages: 11 Posted: 01 Apr 2015
Working Paper Series
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 256
17.

On the Hedge and Safe Haven Properties of Bitcoin: Is it Really More than a Diversifier?

Finance Research Letters, Forthcoming
Number of pages: 12 Posted: 15 Oct 2016
Accepted Paper Series
Université Saint Esprit de Kaslik (USEK), University of Stavanger, Université Saint Esprit de Kaslik (USEK), Montpellier Business School and Norwegian University of Science and Technology (NTNU)
Downloads 250
18.

Bayesian Model Averaging, Ordinary Least Squares and the Price of Gold

Number of pages: 28 Posted: 09 Feb 2017
Working Paper Series
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 239
19.

Liquidity Timing in Commodity Markets and the Impact of Financialization

Number of pages: 49 Posted: 29 Oct 2015 Last Revised: 06 Oct 2016
Working Paper Series
University of Notre Dame - Department of Finance and Northwestern University
Downloads 233
20.

Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics

Alternative Investment Analyst Review - CAIA, Volume 2 (3) 2013, 2nd European Conference on Banking and the Economy 2013 Paper - Winchester UK, Eurobanking 2013 Annual Meeting Paper - Paris
Number of pages: 15 Posted: 08 Nov 2012 Last Revised: 11 Dec 2013
Accepted Paper Series
Oliver Wyman SA
Downloads 227
21.

Demystifying Commodity Futures in China

Number of pages: 70 Posted: 21 Feb 2018 Last Revised: 01 Dec 2018
Working Paper Series
Griffith University - Department of Accounting, Finance and Economics and Griffith University - Department of Accounting, Finance and Economics
Downloads 224
22.

Inflation, Business Cycles, and Commodity Investing in Financialized Markets

Business and Economics Research Journal Volume 6 Number 1 2015
Number of pages: 18 Posted: 02 Feb 2014 Last Revised: 23 Feb 2015
Accepted Paper Series
Pozna? University of Economics and Business
Downloads 214
23.

An Inflation Hedging Strategy with Commodities: A Core Driven Global Macro

The Journal of Investment Strategies, Risk - Summer Issue, June 2013 , 51st Euro Working Group on Commodities and Financial Modelling Meeting Paper - London 2013, 20th Forecasting Financial Markets Conference Paper - Hannover 2013, Asian Finance Association (AsFA) 2013 Conference Paper - Nanchang 2013
Number of pages: 27 Posted: 27 Mar 2012 Last Revised: 04 Jul 2013
Accepted Paper Series
Oliver Wyman SA
Downloads 213
24.

A Multifactor Stochastic Volatility Model of Commodity Prices

Number of pages: 60 Posted: 20 Jul 2016
Working Paper Series
Pontificia Universidad Catolica de Chile, University of California, Berkeley, Haas School of Business, Financial Engineering, Students and University of Miami - Department of Finance
Downloads 204
25.

Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices

Number of pages: 42 Posted: 30 Apr 2014 Last Revised: 18 May 2018
Working Paper Series
University Paris Dauphine, Lausanne University, Swiss Institute of Bioinformatics and University of Illinois at Urbana-Champaign
Downloads 204
26.

Noncausality and the Commodity Currency Hypothesis

Energy Economics, 65, 424-433, (2017)
Number of pages: 20 Posted: 24 Apr 2015 Last Revised: 02 Sep 2018
Accepted Paper Series
Aalto University and University of Helsinki
Downloads 200
27.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 45 Posted: 20 Sep 2016 Last Revised: 16 Jan 2019
Working Paper Series
The Institute of Statistical Mathematics, ESC Rennes, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 180
28.

The Most Predictive Energy Search Terms

Stevens Institute of Technology School of Business Research Paper No. 2853004
Number of pages: 24 Posted: 17 Oct 2016 Last Revised: 16 Jan 2017
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - College of Arts and Letters and Stevens Institute of Technology - School of Business
Downloads 176
29.

Expectations, Fundamentals, and Asset Returns: Evidence from the Commodity Markets

Number of pages: 72 Posted: 25 Jun 2016 Last Revised: 18 Oct 2016
Working Paper Series
Cass Business School and City University London - Faculty of Finance
Downloads 174
30.

Domestic and External Drivers of Maize Prices in Tanzania

Number of pages: 48 Posted: 18 Feb 2015 Last Revised: 21 Mar 2015
Working Paper Series
World Bank, Independent and World Bank - Development Economics Group (DEC)
Downloads 173
31.

CITES II or The Second Convention on International Trade in Endangered Species of Wild Fauna and Flora

Number of pages: 32 Posted: 31 Oct 2016
Working Paper Series
Independent
Downloads 165
32.

Risk Premia and Seasonality in Commodity Futures

Bank of England Working Paper No. 591
Number of pages: 68 Posted: 06 May 2016
Working Paper Series
Universidad Torcuato Di Tella - Departamento de Economia, University of Warwick and Universidad Torcuato Di Tella

Multiple version iconThere are 2 versions of this paper

Downloads 161
33.

Political Uncertainty and Commodity Prices

Fisher College of Business Working Paper No. 2017-03-025, Charles A. Dice Center Working Paper No. 2017-25
Number of pages: 58 Posted: 06 Nov 2017
Working Paper Series
Ohio State University (OSU) - Department of Finance, Tsinghua University and The Chinese University of Hong Kong, Shenzhen
Downloads 156
34.

Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence

Number of pages: 54 Posted: 24 Jan 2019
Working Paper Series
Pozna? University of Economics and Business, Griffith University and Poznan University of Economics and Business
Downloads 148
35.

Electricity Forward Curves with Thin Granularity

Number of pages: 43 Posted: 12 May 2016 Last Revised: 12 Feb 2017
Working Paper Series
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and ESSEC Business School
Downloads 147
36.

A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

Number of pages: 24 Posted: 03 Dec 2016
Working Paper Series
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Edith Cowan University
Downloads 144
37.

Swapping from Headline to Core Inflation and Commodity Hedging

Insurance Risk - Risk, Oct. 2014, European Business Research Conference Proceedings - Rome IT, 2012, Southwestern Finance Association 2013 Annual Meeting Paper - Albuquerque NM, 2013, AIDEA 2013 Banking & Finance Annual Conference Paper - Lecce IT, 2013
Number of pages: 34 Posted: 08 Aug 2012 Last Revised: 19 Oct 2014
Accepted Paper Series
Oliver Wyman SA and Crédit Agricole Corporate and Investment Bank - Credit Agricole Asset Management
Downloads 143
38.

Permanent and Transitory Price Shocks in Commodity Futures Markets and Their Relation to Storage and Speculation

Number of pages: 40 Posted: 05 Mar 2013
Working Paper Series
University of Basel - Center for Economic Science (WWZ) - Department of Finance, Lucerne University of Applied Sciences and Arts, School of Business, Institute of Financial Services Zug (IFZ) and University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 141
39.

Underlying Trends and International Price Transmission of Agricultural Commodities

Asian Development Bank Economics Working Paper Series No. 257
Number of pages: 51 Posted: 03 Jul 2011
Working Paper Series
University of Bath - Department of Economics
Downloads 141
40.

Volatility Risk Premia and Future Commodities Returns

BIS Working Paper No. 619
Number of pages: 32 Posted: 01 Apr 2017 Last Revised: 06 Jul 2017
Working Paper Series
Banco Central do Brasil and Banco Central do Brasil
Downloads 141
41.

Commodity Price Booms and Breaks: Detection, Magnitude and Implications for Developing Countries

IDB Working Paper No. IDB-WP-444
Number of pages: 45 Posted: 25 Jan 2014
Working Paper Series
El Colegio de Mexico and Universidad Torcuato Di Tella - School of Business
Downloads 139
42.

The Impact of Commodity Benchmarks on Derivatives Markets: The Case of the Dated Brent Assessment and Brent Futures

Journal of Banking and Finance, 2018
Number of pages: 53 Posted: 15 Jan 2016 Last Revised: 21 Nov 2018
Accepted Paper Series
Macquarie University, University of Edinburgh, Macquarie Graduate School of Management and University of Geneva
Downloads 135
43.

The Impact of Market Participants’ Interaction on Futures Prices: Comparing Three U.S. Wheat Futures Markets

Number of pages: 32 Posted: 08 May 2014
Working Paper Series
Humboldt University of Berlin - Institute of Finance
Downloads 127
44.

Institutions and Market Integration: The Case of Coffee in the Ethiopian Commodity Exchange

IFPRI Discussion Paper 1464
Number of pages: 48 Posted: 05 Nov 2015
Accepted Paper Series
International Food Policy Research Institute (IFPRI), International Food Policy Research Institute (IFPRI), International Food Policy Research Institute (IFPRI) and Ethiopian Development Research Institute (EDRI)
Downloads 125
45.

Riding the Energy Transition: Oil Beyond 2040

IMF Working Paper No. 17/120
Number of pages: 43 Posted: 02 Jun 2017
Working Paper Series
International Monetary Fund (IMF), International Monetary Fund and Georgetown University
Downloads 119
46.

A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

Number of pages: 24 Posted: 03 Dec 2016
Working Paper Series
School of Mathematics and Statistics, The University of Sydney, National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Edith Cowan University
Downloads 117
47.

Impact of India's Demonetization on Domestic Agricultural Markets

Number of pages: 55 Posted: 08 Nov 2017
Working Paper Series
Indian Institute of Management (IIMU), Udaipur and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 117
48.

The Risk Premium of Gold

Journal of International Money and Finance, Forthcoming
Number of pages: 63 Posted: 22 Nov 2017 Last Revised: 22 Mar 2019
Accepted Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 117
49.

Identifying Price Bubble Periods in the Energy Sector

Energy Economics, Forthcoming
Number of pages: 42 Posted: 09 Jan 2017 Last Revised: 15 Dec 2017
Accepted Paper Series
The University of Texas Rio Grande Valley and University of Texas - Pan American - College of Business Administration - Department of Economics & Finance
Downloads 114
50.

Commodity Exposure, Financial and Operational Hedging of US Oil and Gas Companies

Number of pages: 27 Posted: 16 Feb 2017
Working Paper Series
Trinity Business School, Trinity Business School, Trinity College Dublin and Trinity College (Dublin)
Downloads 113