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Commodity Futures, Momentum, Term Structure, Backwardation, Contango, Double-sort strategy
Commodity futures, Momentum, Backwardation, Contango, Diversification
Commodity, Risk premium, Hedging pressure, Term structure, Momentum
Commodity Futures, Traditional Assets, Correlation, Volatility, DCC Model
Momentum profits, Transaction costs, Low-cost strategy
commodity futures, momentum, term structure, idiosyncratic volatility
Momentum strategy, Abnormal returns, Skewness, Conditional asset pricing
utility-based hedging, OLS, non-normality risk, commodity futures, skewness, kurtosis
Commodity futures, Conditional volatility, Conditional correlation, Long-short portfolios, Professional money managers, Financialization
Momentum profits, Transaction costs, bid-ask spreads, trading volume
Long-only commodity indices, Time-to-maturity, Momentum, Term structure
Value premium, CAPM, GJR-GARCH(1,1)-M, Conditional unsystematic risk
Commodity futures; Idiosyncratic volatility; Backwardation; Contango
Commodity indices, Backwardation, Contango, Long, Short
Momentum profits, Common unsystematic risk, GJR-GARCH(1,1)-M
Long-only commodity portfolio, term structure portfolio, commodity risk, cross-section of equity returns
Financialization, Commodity markets, Speculators, Volatility, Correlation
idiosyncratic risk, cross-sectional variation in stock returns, CAPM, conditional volatility, risk premium
Commodities; Backwardation; Contango; Long-Run Predictability; Intertemporal Pricing
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
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This is a Multinational Finance Journal paper. Multinational Finance Journal charges $10.99 .
File name: SSRN-id2623071.
international government bonds; conditional asset pricing models; variance ratio; mean squared errors; parameter stability
Commodities, Long-short strategies, Performance, Backwardation, Contango
Skewness; Commodity futures; Backwardation; Contango; Asset Pricing
Commodity futures, Hedging pressure, Active strategies
Hedge funds, performance evaluation, alpha, systematic skewness, systematic kurtosis, tactical asset allocation
FTSE 100 Futures Contract, Efficiency, Time-varying Risk, Risk Premia
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