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
There are 2 versions of this paper
Commodities for the Long Run
Number of pages: 24
Posted: 21 Oct 2016
Last Revised: 27 Jul 2017
Downloads
1,750
Downloads
44
Downloads
1,750
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
1,450
3.
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
742
4.
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
CEFGroup & Department of Accountancy and Finance, University of Otago, European University Institute (EUI) and Bangor Business School
Downloads
739
5.
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 University of Oklahoma
Downloads
736
6.
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
723
7.
Commodities as Collateral
Forthcoming, Review of Financial Studies
Number of pages: 54
Posted: 17 Nov 2013
Last Revised: 19 Apr 2016
Accepted Paper Series
Institute of Economics, School of Social Sciences, Tsinghua University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
663
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
632
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
579
10.
The Commodity Futures Risk Premium: 1871–2018
Number of pages: 47
Posted: 20 Sep 2019
Last Revised: 01 Oct 2019
Working Paper Series
SummerHaven Investment Management, SummerHaven Investment Management and Yale School of Management - International Center for Finance
Downloads
509
11.
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
476
12.
Drilling and Debt
Darden Business School Working Paper No. 2939603, Journal of Finance, Forthcoming
Number of pages: 91
Posted: 24 Mar 2017
Last Revised: 29 Aug 2019
Accepted Paper Series
University of Pennsylvania - The Wharton School, University of Virginia - Darden School of Business and University of Virginia - Darden School of Business
Downloads
438
13.
The Untold Story of Commodity Futures in China
Journal of Futures Markets, Forthcoming
Number of pages: 69
Posted: 21 Feb 2018
Last Revised: 26 Jan 2020
Accepted Paper Series
Griffith University - Department of Accounting, Finance and Economics and Griffith University - Department of Accounting, Finance and Economics
Downloads
403
14.
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
393
15.
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
370
16.
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
336
17.
Determinants of Volatile Commodity Prices
Number of pages: 27
Posted: 16 Jan 2013
Last Revised: 17 Jan 2013
Working Paper Series
ICRIER
Downloads
327
18.
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
299
19.
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
285
20.
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
264
21.
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
253
22.
Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence
Number of pages: 85
Posted: 24 Jan 2019
Last Revised: 25 Jan 2020
Working Paper Series
Pozna? University of Economics and Business, Griffith University and Poznan University of Economics and Business
Downloads
235
23.
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
228
24.
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, Institute of Economics, School of Social Sciences, Tsinghua University and The Chinese University of Hong Kong, Shenzhen
Downloads
228
25.
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
225
26.
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
There are 2 versions of this paper
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
Downloads
225
Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices
The Energy Journal 40(3): 125-153, 2019
Posted: 24 Jun 2019
Last Revised: 06 Sep 2019
Downloads
225
27.
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
221
28.
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
220
29.
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 Turku
Downloads
209
30.
Which Risk Factors Drive Oil Futures Price Curves?
Number of pages: 49
Posted: 20 Sep 2016
Last Revised: 16 Jan 2019
Working Paper Series
The Institute of Statistical Mathematics, ESC Rennes School of Business, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads
203
31.
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
189
32.
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
183
33.
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
180
34.
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 Liverpool Management School
Downloads
178
35.
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
177
36.
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
177
37.
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
There are 2 versions of this paper
Risk Premia and Seasonality in Commodity Futures
Bank of England Working Paper No. 591
Number of pages: 68
Posted: 06 May 2016
Downloads
177
Risk Premia and Seasonality in Commodity Futures
CEPR Discussion Paper No. DP11169
Number of pages: 68
Posted: 18 Apr 2016
Last Revised: 12 Mar 2018
Downloads
2
Downloads
177
38.
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
174
39.
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
164
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
157
41.
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
156
42.
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
154
43.
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
149
44.
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
149
45.
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
145
46.
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
140
47.
The Theory of Biofuel Policy and Food Grain Prices
Charles H. Dyson School of Applied Economics and Management Working Paper No. 2011-20
Number of pages: 55
Posted: 04 Jun 2012
Working Paper Series
Cornell University - Charles H. Dyson School of Applied Economics and Management
Downloads
138
48.
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
133
49.
The Role of Gold and the VIX in Investment Portfolios – A Financial and Sustainability Perspective
Number of pages: 24
Posted: 14 Nov 2017
Working Paper Series
University of Western Australia - Business School and University of Hamburg
Downloads
129
50.
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
128
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