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Commodity Trading Advisors, CTA, Hedge Funds, Performance Measurement
Futures Trading, Contango, Backwardation, Basis, Speculators, Hedgers, Risk Premium, Financialization, Time-varying Correlations
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
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Commodity futures, Factor analysis, Business cycle, Tail events
Stock-Commodities correlation, Business cycle
business cycle, stock-commodity correlation
fractional integration, long memory, parameter estimation error, stock returns, long
Block bootstrap, diffusion processes, parameter estimation error, simulated GMM, stochastic volatility
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: IRFI.
mortgages, subprime, refinance, prepayment, crisis
emission trading, market-based instruments, Cost-effective policies
Greenhouse effect, Trade, Input-output, ecofriendly consumption pattern
fractional integration, long memory, parameter estimation error, stock returns, long horizon prediction
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