AUT City Campus
Private Bag 92006
Auckland University of Technology
in Total Papers Downloads
commodity futures, momentum, term structure, idiosyncratic volatility
Commodity futures, Conditional volatility, Conditional correlation, Long-short portfolios, Professional money managers, Financialization
Commodity futures; Idiosyncratic volatility; Backwardation; Contango
arbitrage, foreign exchange market, genetic algorithm
Long-only commodity portfolio, term structure portfolio, commodity risk, cross-section of equity returns
Commodities; Backwardation; Contango; Long-Run Predictability; Intertemporal Pricing
VIX, VIX Futures, FOMC Announcement, Intraday data
Term structure of interest rates, Stock returns, Trading strategies
Implied volatility indices, Financial market Linkages, Connectedness, Vector Autoregression, Variance Decomposition.
VIX, Seasonality, Intraday data
Skewness; Commodity futures; Backwardation; Contango; Asset Pricing
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