Dennis Karstanje

Erasmus University Rotterdam

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Exploiting Commodity Momentum Along the Futures Curves

Journal of Banking and Finance, Forthcoming
Number of pages: 51 Posted: 23 Aug 2014
Wilma de Groot, Dennis Karstanje and Weili Zhou
Robeco Asset Management, Erasmus University Rotterdam and Robeco Asset Management
Downloads 821 (28,007)

Abstract:

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commodity futures, momentum, term structure, futures curve, roll yield, backwardation, contango, transaction costs

2.

Common Factors in Commodity Futures Curves

Number of pages: 67 Posted: 01 Feb 2015 Last Revised: 13 Dec 2017
Dennis Karstanje, Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam, Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 441 (63,148)

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Commodity futures prices, comovement, term structure, dynamic Nelson Siegel model

3.

Economic Valuation of Liquidity Timing

Journal of Banking and Finance, 37, p5073-5087
Number of pages: 46 Posted: 28 Feb 2013 Last Revised: 05 Aug 2014
Erasmus University Rotterdam, UNSW Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam
Downloads 299 (98,783)

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liquidity, forecasting, expected returns, economic valuation