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Commodity index risk premium

https://doi.org/10.1016/j.jcomm.2020.100156

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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/fut.20493openalex-snapshot

Time‐varying market price of risk in the crude oil futures market

inferredcites →https://doi.org/10.1002/jae.2588openalex-snapshot

Anchoring the yield curve using survey expectations

inferredcites →https://doi.org/10.1016/0304-405x(89)90095-0openalex-snapshot

Business conditions and expected returns on stocks and bonds

inferredcites →https://doi.org/10.1016/j.econmod.2013.01.023openalex-snapshot

Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold

inferredcites →https://doi.org/10.1016/j.enpol.2010.04.007openalex-snapshot

Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade

inferredcites →https://doi.org/10.1016/j.intfin.2012.11.007openalex-snapshot

Financialization, crisis and commodity correlation dynamics

inferredcites →https://doi.org/10.1016/j.iref.2013.05.015openalex-snapshot

Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns

inferredcites →https://doi.org/10.1016/j.jbankfin.2012.08.016openalex-snapshot

Forecasting metal prices: Do forecasters herd?

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.2013.06.012openalex-snapshot

Commodity and equity markets: Some stylized facts from a copula approach

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.jcomm.2016.10.002openalex-snapshot

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

inferredcites →https://doi.org/10.1016/j.jcomm.2018.05.005openalex-snapshot

An update on speculation and financialization in commodity markets

inferredcites →https://doi.org/10.1016/j.jfineco.2012.04.005openalex-snapshot

What does futures market interest tell us about the macroeconomy and asset prices?

inferredcites →https://doi.org/10.1016/j.jfineco.2013.04.012openalex-snapshot

Investment shocks and the commodity basis spread

inferredcites →https://doi.org/10.1016/j.jimonfin.2013.08.003openalex-snapshot

Risk premia in crude oil futures prices

inferredcites →https://doi.org/10.1016/j.jimonfin.2019.02.011openalex-snapshot

The Risk Premium of Gold

inferredcites →https://doi.org/10.1016/j.qref.2013.01.003openalex-snapshot

Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage

inferredcites →https://doi.org/10.1016/j.resourpol.2017.06.010openalex-snapshot

Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?

inferredcites →https://doi.org/10.1016/j.resourpol.2020.101825openalex-snapshot

Expected prices, futures prices and time-varying risk premiums: The case of copper

inferredcites →https://doi.org/10.1080/10835547.2009.12089840openalex-snapshot

Conditional Correlations and Real Estate Investment Trusts

inferredcites →https://doi.org/10.1080/14697688.2013.768773openalex-snapshot

Short-term and long-term dependencies of the S&P 500 index and commodity prices

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/10.1111/0022-1082.00278openalex-snapshot

Specification Analysis of Affine Term Structure Models

inferredcites →https://doi.org/10.1111/1477-9552.12191openalex-snapshot

Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets

inferredcites →https://doi.org/10.1111/1540-6261.00426openalex-snapshot

Term Premia and Interest Rate Forecasts in Affine Models

inferredcites →https://doi.org/10.1111/j.1540-6261.1982.tb03612.xopenalex-snapshot

Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange

inferredcites →https://doi.org/10.1111/jofi.12096openalex-snapshot

An Anatomy of Commodity Futures Risk Premia

inferredcites →https://doi.org/10.1115/1.3662552openalex-snapshot

A New Approach to Linear Filtering and Prediction Problems

inferredcites →https://doi.org/10.1142/8984openalex-snapshot

The World Scientific Handbook of Futures Markets

inferredcites →https://doi.org/10.1142/9789814566926_0004openalex-snapshot

Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage

inferredcites →https://doi.org/10.1287/mnsc.2013.1756openalex-snapshot

Investor Flows and the 2008 Boom/Bust in Oil Prices

inferredcites →https://doi.org/10.1287/mnsc.2017.2840openalex-snapshot

Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns

inferredcites →https://doi.org/10.1287/mnsc.2018.3035openalex-snapshot

Commodity Price Forecasts, Futures Prices, and Pricing Models

inferredcites →https://doi.org/10.1515/gej-2017-0075openalex-snapshot

Equities and Commodities Comovements: Evidence from Emerging Markets

inferredcites →https://doi.org/10.15173/esr.v20i3.552openalex-snapshot

A Fear Index to Predict Oil Futures Returns

inferredcites →https://doi.org/10.1920/wp.cem.2013.5213openalex-snapshot

Anchoring the yield curve using survey expectations

inferredcites →https://doi.org/10.21314/jem.2009.025openalex-snapshot

Integrating multiple commodities in a model of stochastic price dynamics

inferredcites →https://doi.org/10.2139/ssrn.1571987openalex-snapshot

Index Investment and Financialization of Commodities

inferredcites →https://doi.org/10.2139/ssrn.873850openalex-snapshot

Term Structure Estimation with Survey Data on Interest Rate Forecasts

inferredcites →https://doi.org/10.2172/1296780openalex-snapshot

International Energy Outlook 2016 With Projections to 2040

inferredcites →https://doi.org/10.2307/2980018openalex-snapshot

Value and Capital: An Inquiry into Some Fundamental Principles of Economic Theory.

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.v68.n6.5openalex-snapshot

Index Investment and the Financialization of Commodities

What points at this work

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

inferred← citeshttps://doi.org/10.2139/ssrn.4724901openalex-extracted

Trade Friction and Evolution Process of Price Discovery in China's Agricultural Commodity Markets

inferred← citeshttps://doi.org/10.1016/j.jcomm.2024.100439openalex-snapshot

Expected returns on commodity ETFs and their underlying assets

inferred← citeshttps://doi.org/10.1016/j.najef.2022.101814openalex-snapshot

Dynamic volatility connectedness between industrial metal markets

inferred← citeshttps://doi.org/10.33543/j.1401.114117openalex-snapshot

THE PRICE DEVELOPMENT OF SELECTED ENERGETIC COMMODITIES

inferred← citeshttps://doi.org/10.3390/risks13010009openalex-snapshot

Using Futures Prices and Analysts’ Forecasts to Estimate Agricultural Commodity Risk Premiums

inferred← citeshttps://doi.org/10.4018/979-8-3373-1200-2.ch004openalex-snapshot

Analyzing and Forecasting the Conditional Volatility of Energy Markets in the Case of Financial, Economic, Health, and Political Shocks

inferred← citeshttps://doi.org/10.4018/979-8-3373-1200-2.ch010openalex-snapshot

Analyzing and Forecasting the Volatility Across Industrial and Precious Metal Markets

inferred← citeshttps://doi.org/10.4018/979-8-3693-7112-1.ch008openalex-snapshot

Which Is Important in Analyzing and Forecasting the Volatility Crossways Livestock Markets

inferred← citeshttps://doi.org/10.66104/bhhy0n24openalex-snapshot

FIAGROS, COMMODITIES AGRÍCOLAS E INVESTIMENTOS: MAPEAMENTO CIENTÍFICO POR REVISÃO BIBLIOMÉTRICA E SISTEMÁTICA

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