Emmanuel Eyiah-Donkor

University College Dublin (UCD) - UCD School of Business

Belfield

Dublin, 4

Ireland

SCHOLARLY PAPERS

4

DOWNLOADS

880

SSRN CITATIONS

9

CROSSREF CITATIONS

4

Scholarly Papers (4)

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-8
Number of pages: 55 Posted: 23 Oct 2020 Last Revised: 14 Jun 2021
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, University College Dublin (UCD) - UCD School of Business and University College Dublin
Downloads 301 (190,837)
Citation 2

Abstract:

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Commodity futures returns; Predictability; Asset allocation; Macroeconomic risk; Intertemporal pricing

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Number of pages: 44 Posted: 28 Apr 2022
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, University College Dublin (UCD) - UCD School of Business and University College Dublin
Downloads 145 (378,656)
Citation 3

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Commodity futures, Return predictability, Asset allocation, Business cycle, Intertemporal asset pricing

2.

Predictability and Diversification Benefits of Investing in Commodity and Currency Futures

International Review of Financial Analysis, Vol. 50, 2017
Number of pages: 34 Posted: 02 Mar 2016 Last Revised: 26 Aug 2019
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, University College Dublin (UCD) - UCD School of Business and University College Dublin
Downloads 200 (286,358)
Citation 2

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Portfolio choice, Asset classes, Spanning tests, Predictability, Performance evaluation

3.

The Illusion of Oil Return Predictability: The Choice of Data Matters!

Journal of Banking and Finance, Vol. 134, No. 106331, 2022. DOI: https://doi.org/10.1016/j.jbankfin.2021.106331, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-10
Number of pages: 50 Posted: 10 May 2021 Last Revised: 11 Feb 2022
Thomas Conlon, John Cotter and Emmanuel Eyiah-Donkor
University College Dublin, University College Dublin and University College Dublin (UCD) - UCD School of Business
Downloads 146 (376,168)
Citation 3

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Averaged crude oil prices; Spurious autocorrelation; Return predictability; Out-of-sample forecasts; Statistical inference

4.

Forecasting the Price of Oil: A Cautionary Note

Number of pages: 38 Posted: 16 Feb 2022 Last Revised: 17 Apr 2023
Thomas Conlon, John Cotter and Emmanuel Eyiah-Donkor
University College Dublin, University College Dublin and University College Dublin (UCD) - UCD School of Business
Downloads 88 (542,498)

Abstract:

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Monthly average and end-of-month crude oil prices; Oil price predictability; Forecast combinations; Out-of-sample forecast performance; Hedging and investment decisions