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Commodities' common factor: An empirical assessment of the markets' drivers

https://doi.org/10.1016/j.jcomm.2016.10.002
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1099-1255(199605)11:3<275::aid-jae392>3.0.co;2-3openalex-snapshot
The excess co-movement of commodity prices reconsidered
inferredcites →https://doi.org/10.1002/(sici)1099-1255(199605)11:3<275::aid-jae392>3.3.co;2-vopenalex-snapshot
The excess co‐movement of commodity prices reconsidered
inferredcites →https://doi.org/10.1002/for.1056openalex-snapshot
How successful are dynamic factor models at forecasting output and inflation? A meta‐analytic approach
inferredcites →https://doi.org/10.1016/j.econlet.2014.11.027openalex-snapshot
Co-movements in commodity prices: Global, sectoral and commodity-specific factors
inferredcites →https://doi.org/10.1016/j.irfa.2016.06.002openalex-snapshot
Is idiosyncratic volatility priced in commodity futures markets?
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.12.008openalex-snapshot
Is gold a safe haven? International evidence
inferredcites →https://doi.org/10.1016/j.jbankfin.2013.02.031openalex-snapshot
Capturing the risk premium of commodity futures: The role of hedging pressure
inferredcites →https://doi.org/10.1016/j.jbankfin.2013.11.034openalex-snapshot
Are there common factors in individual commodity futures returns?
inferredcites →https://doi.org/10.1016/j.jdeveco.2012.09.002openalex-snapshot
Primary commodity prices: Co-movements, common factors and fundamentals
inferredcites →https://doi.org/10.1016/j.jeconom.2005.01.029openalex-snapshot
The common and specific components of dynamic volatility
inferredcites →https://doi.org/10.1016/j.jeconom.2010.11.005openalex-snapshot
Market liquidity as dynamic factors
inferredcites →https://doi.org/10.1016/j.jeconom.2013.10.017openalex-snapshot
Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
inferredcites →https://doi.org/10.1016/j.jempfin.2005.12.001openalex-snapshot
CAPM over the long run: 1926–2001
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.012openalex-snapshot
The conditional CAPM does not explain asset-pricing anomalies☆
inferredcites →https://doi.org/10.1016/s0304-405x(96)00896-3openalex-snapshot
Industry costs of equity
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Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/260133openalex-snapshot
Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums
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New Indexes of Coincident and Leading Economic Indicators
inferredcites →https://doi.org/10.1093/jjfinec/nbs024openalex-snapshot
Broker-Dealer Risk Appetite and Commodity Returns
inferredcites →https://doi.org/10.1093/rfs/5.1.1openalex-snapshot
On the Estimation of Beta-Pricing Models
inferredcites →https://doi.org/10.1093/rfs/hhj035openalex-snapshot
Downside Risk
inferredcites →https://doi.org/10.1093/rof/rfs019openalex-snapshot
The Fundamentals of Commodity Futures Returns
inferredcites →https://doi.org/10.1111/0022-1082.00253openalex-snapshot
Hedging Pressure Effects in Futures Markets
inferredcites →https://doi.org/10.1111/ectj.12047openalex-snapshot
Generalized dynamic factor models and volatilities: recovering the market volatility shocks
inferredcites →https://doi.org/10.1111/jofi.12096openalex-snapshot
An Anatomy of Commodity Futures Risk Premia
inferredcites →https://doi.org/10.1162/003465300559037openalex-snapshot
The Generalized Dynamic-Factor Model: Identification and Estimation
inferredcites →https://doi.org/10.1198/016214506000001275openalex-snapshot
Determining the Number of Factors in the General Dynamic Factor Model
inferredcites →https://doi.org/10.2139/ssrn.1278432openalex-snapshot
Commodities and the Market Price of Risk
inferredcites →https://doi.org/10.2139/ssrn.1433332openalex-snapshot
How Important are Common Factors in Driving Non-Fuel Commodity Prices? A Dynamic Factor Analysis
inferredcites →https://doi.org/10.2139/ssrn.1571987openalex-snapshot
Index Investment and Financialization of Commodities
inferredcites →https://doi.org/10.2139/ssrn.2348200openalex-snapshot
A Better Specified Asset Pricing Model to Explain the Cross-Section and Time-Series of Commodity Returns
inferredcites →https://doi.org/10.2139/ssrn.2495779openalex-snapshot
Factor Structure in Commodity Futures Return and Volatility
inferredcites →https://doi.org/10.2139/ssrn.908609openalex-snapshot
What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis
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Time Series: Data Analysis and Theory.
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Time Series: Data Analysis and Theory.
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Facts and Fantasies about Commodity Futures
inferredcites →https://doi.org/10.2469/faj.v62.n2.4084openalex-snapshot
The Strategic and Tactical Value of Commodity Futures
inferredcites →https://doi.org/10.2469/faj.v62.n5.4282openalex-snapshot
How Profitable Is Capital Structure Arbitrage?
inferredcites →https://doi.org/10.2469/faj.v68.n6.5openalex-snapshot
Index Investment and the Financialization of Commodities
inferredcites →https://doi.org/10.3386/w12713openalex-snapshot
The Effect of Monetary Policy on Real Commodity Prices
inferredcites →https://doi.org/10.3386/w2671openalex-snapshot
The Excess Co-Movement of Commodity Prices
inferredcites →https://doi.org/10.3886/icpsr01032openalex-snapshot
Excess Co-Movement of Commodity Prices

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Trade Friction and Evolution Process of Price Discovery in China's Agricultural Commodity Markets
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Commodity momentum and reversal: Do they exist, and if so, why?
inferred← citeshttps://doi.org/10.1007/s13563-025-00529-3openalex-snapshot
Time-varying spillover effects within and between industrial metal markets
inferred← citeshttps://doi.org/10.1016/j.frl.2023.104491openalex-snapshot
Predicting gold volatility: Exploring the impact of extreme risk in the international commodity market
inferred← citeshttps://doi.org/10.1016/j.ijforecast.2021.11.001openalex-snapshot
Forecasting: theory and practice
inferred← citeshttps://doi.org/10.1016/j.jcomm.2020.100156openalex-snapshot
Commodity index risk premium
inferred← citeshttps://doi.org/10.1016/j.resourpol.2019.101528openalex-snapshot
Forecasting prices of selected metals with Bayesian data-rich models
inferred← citeshttps://doi.org/10.17221/55/2017-agriceconopenalex-snapshot
Drivers of grain price volatility: a cursory critical review
inferred← citeshttps://doi.org/10.2139/ssrn.4897504openalex-snapshot
A Decomposition of the Cross-Section of Commodity Returns
inferred← citeshttps://doi.org/10.21511/imfi.15(3).2018.29openalex-snapshot
Hedging and non-hedging trading strategies on commodities using the d-Backtest PS method. Optimized trading system hedging
inferred← citeshttps://doi.org/10.33612/diss.238497592openalex-snapshot
Commodities as an Asset Class
inferred← citeshttps://doi.org/10.3390/agriculture15111127openalex-snapshot
Enhancing Agricultural Futures Return Prediction: Insights from Rolling VMD, Economic Factors, and Mixed Ensembles
inferred← citeshttps://doi.org/10.3390/ijfs12020034openalex-snapshot
Forecasting Selected Commodities’ Prices with the Bayesian Symbolic Regression
inferred← citeshttps://doi.org/10.3390/su10082801openalex-snapshot
Some Novel Bayesian Model Combination Schemes: An Application to Commodities Prices
inferred← citeshttps://doi.org/10.5539/ijef.v15n1p65openalex-snapshot
Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach
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