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Econometric Modeling: Commodity Markets eJournal

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Viewing: 1 - 50 of 1,707 papers

1.

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 3,950
2.

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 3,722
3.

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 2,374
4.

Gold, the 'Fear Trade' and Mr. Market

Number of pages: 25 Posted: 25 Jan 2014
Working Paper Series
TR
Downloads 1,523
5.

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 1,428
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 1,374
7.

The Golden Constant

Duke I&E Research Paper No. 2016-35
Number of pages: 10 Posted: 05 Aug 2015 Last Revised: 11 Nov 2016
Working Paper Series
TR and Duke University - Fuqua School of Business
Downloads 1,338
8.

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 1,320
9.

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 Manchester Business School
Downloads 1,185
10.

The Local Economic and Welfare Consequences of Hydraulic Fracturing

Number of pages: 119 Posted: 21 Dec 2016 Last Revised: 04 Jan 2017
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 1,022
11.

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 1,008
12.

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 1,002
13.

The Financialization of Commodity Markets

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

Multiple version iconThere are 2 versions of this paper

Downloads 970
14.

The Economic Impact of Index Investing

NBER Market Microstructure Meeting Paper (2015), Washington University in St. Louis Center for Finance and Accounting Research Working Paper No. 15/06
Number of pages: 60 Posted: 26 Sep 2015 Last Revised: 04 Apr 2017
Working Paper Series
University of Washington - Department of Finance and Business Economics, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 962
15.

Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads

Number of pages: 5 Posted: 30 Mar 2017
Working Paper Series
Premia Research LLC and Quartile Risk, LLC
Downloads 956
16.

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 955
17.

Variance Risk Premia in Commodity Markets

Number of pages: 59 Posted: 04 Jan 2013 Last Revised: 07 Apr 2014
Working Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 940
18.

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 909
19.

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 876
20.

Assessing Stop-Loss and Re-Entry Strategies

Number of pages: 36 Posted: 12 Jun 2013
Working Paper Series
Credit Suisse
Downloads 840
21.

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 811
22.

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 804
23.

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 804
24.

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 772
25.

The Financial Economics of Gold – A Survey

FIRN Research Paper No. 2628018
Number of pages: 60 Posted: 09 Jul 2015
Working Paper Series
University of York - The York Management School, Trinity Business School, Trinity College Dublin, Monash University and University of Western Australia - Business School
Downloads 748
26.

Long-Short Commodity Investing: A Review of the Literature

Journal of Commodity Markets, Invited publication, Forthcoming
Number of pages: 31 Posted: 09 Dec 2015 Last Revised: 28 Jan 2016
Accepted Paper Series
Audencia Nantes School of Management
Downloads 731
27.

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 727
28.

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 717
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 699
30.

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 697
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 691
32.

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

Yale International Center for Finance Working Paper No. 14-24
Number of pages: 61 Posted: 14 Jun 2014 Last Revised: 03 Feb 2017
Working Paper Series
Renmin University of China - Hanqing Institute, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Science, Tsinghua University
Downloads 688
33.

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
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 668
34.

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

Stevens Institute of Technology School of Business Research Paper
Number of pages: 45 Posted: 19 Apr 2017 Last Revised: 29 Nov 2017
Working 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 666
35.

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 649
36.

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 632
37.

Determinant of Volatility Natural Rubber Price

Number of pages: 11 Posted: 10 Jun 2013
Working Paper Series
Independent
Downloads 609
38.

Gold and Silver Manipulation: What Can Be Empirically Verified?

Number of pages: 25 Posted: 25 Jan 2016
Working Paper Series
Monash University, Trinity Business School, Trinity College Dublin and The University of Sydney
Downloads 599
39.

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 596
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
Poznań University of Economics and Business
Downloads 591
41.

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 570
42.

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 Rochester - Simon Business School, University of Pennsylvania - The Wharton School and University of Minnesota - Carlson School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 566
43.

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 Science, Tsinghua University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 556
44.

Gold, Platinum, and Expected Stock Returns

Number of pages: 58 Posted: 12 Aug 2016
Working Paper Series
Cornell University - Department of Finance
Downloads 555
45.

Is Gold a Hedge Against Inflation? A Wavelet Time-Scale Perspective

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 57 Posted: 10 Oct 2015 Last Revised: 07 Oct 2017
Accepted Paper Series
University College Dublin, Trinity Business School, Trinity College Dublin and Linkoping University - Department of Management and Engineering Division
Downloads 538
46.

Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got to Do with It?

Number of pages: 51 Posted: 16 Oct 2014
Working Paper Series
University of Cyprus - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 529
47.

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
University of Southampton - Centre for Digital Finance, Monash University, Trinity Business School, Trinity College Dublin, Centre for Digital Finance, University of Southampton and The University of Sydney
Downloads 518
48.

Exchange-Traded Funds on Gold - A Free Lunch?

FIRN Research Paper
Number of pages: 23 Posted: 25 Jul 2013 Last Revised: 05 Aug 2013
Working Paper Series
University of Western Australia - Business School
Downloads 511
49.

Speculative Trading in the Gold Market

International Review of Financial Analysis, Vol. 39, May 2015
Number of pages: 27 Posted: 25 Oct 2012 Last Revised: 23 Sep 2015
Accepted Paper Series
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 495
50.

Understanding the Decline in the Price of Oil Since June 2014

CESifo Working Paper Series No. 5755
Number of pages: 41 Posted: 15 Mar 2016
Working Paper Series
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 483