Search Results
Econometric Modeling: Commodity Markets eJournal

205,878 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 1 - 50 of 2,031 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: 271 Posted: 13 Sep 2018 Last Revised: 19 Dec 2018
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads 13,001
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 4,296
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 3,842
4.

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 2,528
5.

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 1,801
6.

Cryptocurrencies As an Asset Class? An Empirical Assessment

WBS Finance Group Research Paper
Number of pages: 35 Posted: 30 Nov 2017 Last Revised: 16 Jun 2018
Working Paper Series
University of Warwick - Finance Group
Downloads 1,762
7.

Gold, the 'Fear Trade' and Mr. Market

Number of pages: 25 Posted: 25 Jan 2014
Working Paper Series
TR
Downloads 1,594
8.

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 1,528
9.

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 1,508
10.

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
Massachusetts Institute of Technology (MIT), Department of Economics, Students, National Bureau of Economic Research (NBER), 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 1,499
11.

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 1,454
12.

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 1,377
13.

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 1,290
14.

El Mercado del Oro (The Gold Market)

Number of pages: 19 Posted: 02 Jul 2014 Last Revised: 11 Aug 2017
Working Paper Series
Universidad Complutense de Madrid
Downloads 1,213
15.

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 1,168
16.

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 Zurich, ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,086
17.

Strategic Allocation to Commodity Factor Premiums

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

Multiple version iconThere are 2 versions of this paper

Downloads 1,086
18.

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, University of East Anglia (UEA) - Norwich Business School and University of Reading - ICMA Centre
Downloads 1,046
19.

A Golden Bet: Gold Mining Equities versus Gold

Number of pages: 33 Posted: 19 Feb 2014 Last Revised: 19 Feb 2014
Working Paper Series
TR
Downloads 1,042
20.

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 1,016
21.

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
Renmin University of China - Hanqing Institute, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,004
22.

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 1,004
23.

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
Wake Forest University School of Law
Downloads 952
24.

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 950
25.

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 Nantes School of Management
Downloads 938
26.

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 933
27.

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
Strategy & Market Analysis
Downloads 900
28.

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, Universiti Utara Malaysia and University of Western Australia - Business School
Downloads 857
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 855
30.

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 855
31.

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 842
32.

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, Sharif University of Technology - Graduate School of Management and Economics and Sharif University of Technology
Downloads 835
33.

Economic Shocks and Conflict: Evidence from Commodity Prices

Number of pages: 51 Posted: 23 May 2013
Working Paper Series
University of California, San Diego (UCSD) and University of Chicago, Harris School of Public Policy
Downloads 832
34.

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 821
35.

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 779
36.

Uncertainty and the Price for Crude Oil Reserves

World Bank Policy Research Working Paper No. 1655
Number of pages: 28 Posted: 20 Apr 2016
Working Paper Series
Institute for the Theory and Practice of International Relations
Downloads 750
37.

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

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 28 Jul 2012 Last Revised: 13 Feb 2017
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 746
38.

Determinant of Volatility Natural Rubber Price

Number of pages: 11 Posted: 10 Jun 2013
Working Paper Series
Independent
Downloads 741
39.

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 724
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 704
41.

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 698
42.

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 635
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, Universiti Utara Malaysia, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School and The University of Sydney
Downloads 632
44.

Gold and Silver Manipulation: What Can Be Empirically Verified?

Number of pages: 25 Posted: 25 Jan 2016
Working Paper Series
Universiti Utara Malaysia, Trinity Business School, Trinity College Dublin and The University of Sydney
Downloads 627
45.

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 625
46.

The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs

Studies in Economics and Finance, vol 32, issue 3, pp.278 - 297, 2015
Number of pages: 20 Posted: 20 Aug 2014 Last Revised: 01 Aug 2015
Accepted Paper Series
University of Washington - Department of Applied Math and Columbia University
Downloads 609
47.

Econometric Analysis of 15-Minute Intraday Electricity Prices

University of St.Gallen, School of Finance Research Paper No. 2015/21
Number of pages: 44 Posted: 10 Oct 2015 Last Revised: 23 Nov 2016
Working Paper Series
University of Duisburg-Essen - Faculty of Economic Science and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 606
48.

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
Fox School of Business, University of Maryland - Department of Finance and University of Maryland - Department of Finance
Downloads 601
49.

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 597
50.

Mean-Reverting Statistical Arbitrage in Crude Oil Markets

Number of pages: 39 Posted: 10 Apr 2017
Working Paper Series
University of Bari
Downloads 590