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Econometric Modeling: Commodity Markets eJournal

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Viewing: 1 - 50 of 2,276 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 39,078
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 4,578
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 3,942
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 2,616
5.

Cryptocurrencies As an Asset Class? An Empirical Assessment

Number of pages: 30 Posted: 30 Nov 2017 Last Revised: 06 Sep 2019
Working Paper Series
School of Economics and Finance, Queen Mary University of London
Downloads 2,105
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 2,055
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 1,780
8.

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 1,736
9.

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 1,699
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 1,584
11.

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 1,564
12.

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 University of Kentucky - Gatton College of Business and Economics
Downloads 1,499
13.

Coronavirus and Oil Price Crash

Number of pages: 13 Posted: 18 Mar 2020
Working Paper Series
Politehnica University of Timisoara
Downloads 1,458
14.

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 1,401
15.

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 1,369
16.

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 1,359
17.

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 1,317
18.

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 1,313
19.

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 1,289
20.

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, Tehran Institute for Advanced Studies (TeIAS), Khatam University and Sharif University of Technology
Downloads 1,233
21.

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 1,192
22.

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 1,154
23.

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 1,123
24.

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 1,079
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 Business School
Downloads 1,076
26.

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 1,059
27.

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, The University of Sydney and University of Western Australia - Business School
Downloads 1,057
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 1,021
29.

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 1,017
30.

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 921
31.

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 Tehran Institute for Advanced Studies (TeIAS), Khatam University
Downloads 912
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 897
33.

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 887
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 878
35.

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 853
36.

Determinant of Volatility Natural Rubber Price

Number of pages: 11 Posted: 10 Jun 2013
Working Paper Series
Independent
Downloads 829
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 809
38.

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 799
39.

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 787
40.

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 761
41.

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 755
42.

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 748
43.

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 738
44.

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 711
45.

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, The University of Sydney, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School and The University of Sydney
Downloads 708
46.

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 701
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 696
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, Fox School of Business, Temple University and Georgetown University
Downloads 682
49.

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 670
50.

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 669