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Econometric Modeling: Commodity Markets eJournal

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Viewing: 1 - 50 of 2,417 papers

1.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads 50,578
2.

Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold

Number of pages: 29 Posted: 19 Dec 2006 Last Revised: 01 Sep 2015
Working Paper Series
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin

Multiple version iconThere are 2 versions of this paper

Downloads 4,828
3.

An Impressionistic View of the 'Real' Price of Gold Around the World

Number of pages: 29 Posted: 19 Sep 2012 Last Revised: 20 Sep 2012
Working Paper Series
TR and Duke University - Fuqua School of Business
Downloads 4,030
4.

Coronavirus and Oil Price Crash

Number of pages: 13 Posted: 18 Mar 2020
Working Paper Series
Politehnica University of Timisoara
Downloads 2,781
5.

The Case of Gold and Silver: A New Algorithm for Pairs Trading

Number of pages: 7 Posted: 10 Apr 2013 Last Revised: 10 Apr 2013
Working Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads 2,689
6.

A Study on the Factors Affecting Crude Palm Oil (CPO) Price in Malaysia

Number of pages: 10 Posted: 15 Jun 2013
Working Paper Series
Johor Institution
Downloads 2,232
7.

Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads

Number of pages: 5 Posted: 30 Mar 2017
Working Paper Series
Premia Research LLC and Premia Research LLC
Downloads 1,919
8.

The Golden Constant

Duke I&E Research Paper No. 2016-35
Number of pages: 10 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
TR and Duke University - Fuqua School of Business
Downloads 1,907
9.

The Local Economic and Welfare Consequences of Hydraulic Fracturing

Number of pages: 124 Posted: 21 Dec 2016 Last Revised: 25 Jul 2018
Working Paper Series
University of Illinois at Urbana-Champaign - Department of Economics, Princeton University, University of Chicago - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,809
10.

The Trend Is Your Friend: Time-Series Momentum Strategies Across Equity and Commodity Markets

Forthcoming, Review of Finance
Number of pages: 48 Posted: 15 Jun 2015 Last Revised: 20 Jun 2016
Accepted Paper Series
SEI Investments and Lancaster University Management School
Downloads 1,677
11.

Intraday Patterns in Natural Gas Futures: Extracting Signals from High-Frequency Trading Data

Number of pages: 26 Posted: 09 Sep 2015 Last Revised: 07 Mar 2016
Working Paper Series
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,593
12.

A Model of Financialization of Commodities

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 18 Jan 2013 Last Revised: 14 Sep 2015
Accepted Paper Series
London Business School and London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,592
13.

The Economic Impact of Index Investing

Review of Financial Studies, Forthcoming
Number of pages: 85 Posted: 26 Sep 2015 Last Revised: 27 Aug 2020
Working Paper Series
University of Utah - David Eccles School of Business, University of Utah - Department of Finance and University of Kentucky - Gatton College of Business and Economics
Downloads 1,569
14.

El Mercado del Oro (The Gold Market)

Number of pages: 24 Posted: 02 Jul 2014 Last Revised: 15 Jun 2019
Working Paper Series
Universidad Complutense de Madrid
Downloads 1,523
15.

A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 14 Jun 2014 Last Revised: 22 Apr 2019
Accepted Paper Series
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,463
16.

Multi-Asset Seasonality and Trend-Following Strategies

Bankers, Markets & Investors (Forthcoming)
Number of pages: 24 Posted: 03 Jan 2016
Accepted Paper Series
Imperial College Business School
Downloads 1,416
17.

Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets

Number of pages: 56 Posted: 23 Mar 2013
Working Paper Series
Swiss Federal Institute of Technology Zurich (ETH Zurich), United Nations - Conference on Trade and Development (UNCTAD), UNCTAD - United Nations Conference on Trade and Development and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,410
18.

Gold, Platinum, and Expected Stock Returns

Number of pages: 69 Posted: 12 Aug 2016 Last Revised: 17 Apr 2018
Working Paper Series
Cornell University - Department of Finance and University of Southern California - Marshall School of Business
Downloads 1,376
19.

The Financial Economics of Gold – A Survey

FIRN Research Paper No. 2628018
Number of pages: 60 Posted: 09 Jul 2015
Working Paper Series
University College Cork, Trinity Business School, Trinity College Dublin, RMIT University and University of Western Australia - Business School
Downloads 1,372
20.

Strategic Allocation to Commodity Factor Premiums

Number of pages: 26 Posted: 17 May 2013 Last Revised: 27 May 2014
Working Paper Series
Robeco Quantitative Investments and Robeco Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,281
21.

Crude Oil Price Forecasting Techniques: A Comprehensive Review of Literature

Number of pages: 32 Posted: 07 Jun 2013
Working Paper Series
University of Beira Interior - Department of Management and Economics and University of Beira Interior - Department of Management and Economics
Downloads 1,236
22.

Price Elasticity of Gasoline Smuggling: A Semi-Structural Estimation Approach

Energy Economics, Vol. 71, 2018
Number of pages: 45 Posted: 19 Apr 2017 Last Revised: 21 Dec 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business, affiliation not provided to SSRN and Sharif University of Technology
Downloads 1,235
23.

Statistical Testing of DeMark Technical Indicators on Commodity Futures

Swiss Finance Institute Research Paper No. 15-56
Number of pages: 27 Posted: 06 Dec 2015 Last Revised: 20 Oct 2017
Working Paper Series
ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,221
24.

Long-Short Commodity Investing: A Review of the Literature

Journal of Commodity Markets, 2016, 1, 3-13
Number of pages: 31 Posted: 09 Dec 2015 Last Revised: 20 May 2019
Accepted Paper Series
Audencia Business School
Downloads 1,174
25.

The Role of National and International Oil Companies in the Petroleum Industry

USAEE Working Paper No. 13-137
Number of pages: 10 Posted: 28 Jul 2013
Working Paper Series
Saudi Aramco
Downloads 1,132
26.

Variance Risk in Commodity Markets

Journal of Banking and Finance, Vol. 81, 2017
Number of pages: 46 Posted: 04 Jan 2013 Last Revised: 21 Mar 2019
Accepted Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 1,093
27.

Insider Trading in Commodities Markets

Virginia Law Review, Vol. 102, 2016 , Wake Forest Univ. Legal Studies Paper No. 2568140
Number of pages: 54 Posted: 23 Feb 2015 Last Revised: 21 Apr 2016
Accepted Paper Series
University of California, Los Angeles (UCLA) - School of Law
Downloads 1,049
28.

The Financialization of Commodity Markets

Number of pages: 36 Posted: 06 Nov 2013 Last Revised: 16 Nov 2013
Working Paper Series
Dartmouth College - Tuck School of Business and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,029
29.

Benchmarking Commodity Investments

Journal of Futures Markets, Forthcoming
Number of pages: 44 Posted: 09 Mar 2016 Last Revised: 11 Sep 2017
Accepted Paper Series
Vanderbilt University - Finance, Illinois Institute of Technology - Stuart School of Business, IIT and Efficient Capital Management, LLC
Downloads 960
30.

Machine Learning in Energy Economics and Finance: A Review

Energy Economics, Vol. 81, 2019
Number of pages: 71 Posted: 15 Nov 2018 Last Revised: 08 Jun 2019
Accepted Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, School of Business and affiliation not provided to SSRN
Downloads 938
31.

Exploiting Commodity Momentum Along the Futures Curves

Journal of Banking and Finance, Forthcoming
Number of pages: 51 Posted: 23 Aug 2014
Accepted Paper Series
Robeco Asset Management, Erasmus University Rotterdam and Robeco Asset Management
Downloads 924
32.

Reassessing the Role of Precious Metals as Safe Havens - What Colour is Your Haven and Why?

Number of pages: 88 Posted: 27 Jan 2017 Last Revised: 09 Feb 2017
Working Paper Series
Trinity Business School, Trinity College Dublin and Trinity Business School, Trinity College Dublin
Downloads 918
33.

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 909
34.

A Fear Index to Predict Oil Futures Returns

FEEM Working Paper No. 62.2013
Number of pages: 26 Posted: 12 Jul 2013 Last Revised: 11 Nov 2016
Working Paper Series
University of Paris 8 Vincennes-Saint Denis and University of Nantes
Downloads 894
35.

Determinant of Volatility Natural Rubber Price

Number of pages: 11 Posted: 10 Jun 2013
Working Paper Series
Independent
Downloads 879
36.

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 875
37.

Economic Shocks and Conflict: Evidence from Commodity Prices

Number of pages: 51 Posted: 23 May 2013
Working Paper Series
Boston University - Department of Economics and University of Chicago, Harris School of Public Policy
Downloads 859
38.

Commodity Trade and the Carry Trade: A Tale of Two Countries

Journal of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 76 Posted: 28 Jul 2012 Last Revised: 11 Aug 2020
Working Paper Series
University of Oregon - Department of Finance, University of Pennsylvania - The Wharton School and University of Minnesota - Carlson School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 852
39.

The Role of Azerbaijani Investments to Turkish Energy Sector in Economic Collabaration of These Countries

Paper presented at EconAnadolu 2013: Anadolu International Conference in Economics III June 19-21, 2013, Eskisehir, Turkey.
Number of pages: 29 Posted: 21 Jun 2013
Working Paper Series
Baku Engineering University - Department of Finance and Qafqaz University - Center for Socio-Economic Research
Downloads 836
40.

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 792
41.

151 Estrategias de Trading (151 Trading Strategies)

Z. Kakushadze y J.A. Serur. 151 Estrategias de Trading (Spanish Edition, 2019), 398 pp; ISBN 978-1071261873
Number of pages: 398 Posted: 19 Jun 2019 Last Revised: 24 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads 788
42.

Commodity Option Implied Volatilities and the Expected Futures Returns

Number of pages: 74 Posted: 24 Mar 2017 Last Revised: 06 Mar 2019
Working Paper Series
Universite du Luxembourg
Downloads 777
43.

Does Technical Analysis Beat the Market? – Evidence from High Frequency Trading in Gold and Silver

Number of pages: 23 Posted: 29 Aug 2015
Working Paper Series
ICMA Centre, Henley Business School, RMIT University, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School and The University of Sydney
Downloads 773
44.

Uncertainty and the Price for Crude Oil Reserves

Number of pages: 28 Posted: 20 Apr 2016
Working Paper Series
Global Research Institute
Downloads 767
45.

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 760
46.

Statistics of VIX Futures and Their Applications to Trading Volatility Exchange-Traded Products

The Journal of Investment Strategies, Vol. 7, No. 2, pp. 1-33 (2018)
Number of pages: 39 Posted: 31 Aug 2017 Last Revised: 14 Nov 2018
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and North Carolina State University - Department of Mathematics
Downloads 756
47.

Mean-Reverting Statistical Arbitrage in Crude Oil Markets

Number of pages: 39 Posted: 10 Apr 2017
Working Paper Series
Università degli Studi di Bari “Aldo Moro” (UNIBA)
Downloads 745
48.

Understanding the Tracking Errors of Commodity Leveraged ETFs

Commodities, Energy & Environmental Finance, Fields Institute Communications, R. Aid et al. Editors, pp.39-63, Springer, 2015
Number of pages: 22 Posted: 03 Feb 2014 Last Revised: 30 Sep 2015
Accepted Paper Series
Columbia University and University of Washington - Department of Applied Math
Downloads 738
49.

Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns

Forthcoming, Management Science
Number of pages: 63 Posted: 04 Apr 2015 Last Revised: 13 Sep 2017
Accepted Paper Series
Temple University - Fox School of Business and Management, Fox School of Business, Temple University and Georgetown University
Downloads 730
50.

What Precious Metals Act as Safe Havens, and When? Some US Evidence

Applied Economics Letters, Forthcoming
Number of pages: 17 Posted: 04 Oct 2013 Last Revised: 08 Feb 2017
Accepted Paper Series
Trinity Business School, Trinity College Dublin and Trinity Business School, Trinity College Dublin
Downloads 712