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The Role of Financial Traders for Price Responses to Shocks in the Commodity Futures Markets

https://doi.org/10.2139/ssrn.5427394
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The performance of event study approaches using daily commodity futures returns
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Does Futures Speculation Destabilize Commodity Markets?
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An analysis of illiquidity in commodity markets
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Hedging pressure and oil volatility: Insurance versus liquidity demands
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THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL
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Speculation in the Oil Market
inferredcites →https://doi.org/10.1002/jae.3019openalex-snapshot
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors
inferredcites →https://doi.org/10.1016/j.ecosta.2018.10.005openalex-snapshot
Identification of independent structural shocks in the presence of multiple Gaussian components
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The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures
inferredcites →https://doi.org/10.1016/j.jcomm.2016.07.006openalex-snapshot
The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies
inferredcites →https://doi.org/10.1016/j.jcomm.2017.01.002openalex-snapshot
Price discovery in agricultural commodity markets in the presence of futures speculation
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.jcomm.2018.09.006openalex-snapshot
Do speculators drive commodity prices away from supply and demand fundamentals?
inferredcites →https://doi.org/10.1016/j.jcomm.2023.100313openalex-snapshot
Financialization of commodity markets ten years later
inferredcites →https://doi.org/10.1016/j.jebo.2021.09.031openalex-snapshot
The state-dependent trading behavior of banks in the oil futures market
inferredcites →https://doi.org/10.1016/j.jeconom.2008.12.019openalex-snapshot
Consistent noisy independent component analysis
inferredcites →https://doi.org/10.1016/j.jeconom.2016.09.007openalex-snapshot
Statistical inference for independent component analysis: Application to structural VAR models
inferredcites →https://doi.org/10.1016/j.jfineco.2013.03.003openalex-snapshot
Limits to arbitrage and hedging: Evidence from commodity markets
inferredcites →https://doi.org/10.1016/j.jfineco.2017.08.002openalex-snapshot
Intermediary asset pricing: New evidence from many asset classes
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-snapshot
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/j.physa.2019.03.002openalex-snapshot
Time-varying lead–lag structure between the crude oil spot and futures markets
inferredcites →https://doi.org/10.1016/j.resourpol.2020.101934openalex-snapshot
The lead–lag relationship between spot and futures prices: Empirical evidence from the Indian commodity market
inferredcites →https://doi.org/10.1017/s1074070800005150openalex-snapshot
Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets
inferredcites →https://doi.org/10.1093/jjfinec/nbs024openalex-snapshot
Broker-Dealer Risk Appetite and Commodity Returns
inferredcites →https://doi.org/10.1093/rfs/hhn098openalex-snapshot
Market Liquidity and Funding Liquidity
inferredcites →https://doi.org/10.1093/rof/rfaa027openalex-snapshot
ETF Arbitrage, Non-Fundamental Demand, and Return Predictability
inferredcites →https://doi.org/10.1093/rof/rfu043openalex-snapshot
Convective Risk Flows in Commodity Futures Markets
inferredcites →https://doi.org/10.1111/1467-6419.00110openalex-snapshot
Pricing of Forward and Futures Contracts
inferredcites →https://doi.org/10.1111/j.1468-0084.2012.00710.xopenalex-snapshot
Causal Inference by Independent Component Analysis: Theory and Applications*
inferredcites →https://doi.org/10.1111/jofi.12408openalex-snapshot
A Model of Financialization of Commodities
inferredcites →https://doi.org/10.1111/jofi.12845openalex-snapshot
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
inferredcites →https://doi.org/10.1111/jofi.13165openalex-snapshot
Commodity Financialization and Information Transmission
inferredcites →https://doi.org/10.1146/annurev-financial-110311-101716openalex-snapshot
Commodity Investing
inferredcites →https://doi.org/10.1155/2022/6162671openalex-snapshot
A Lead‐Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets
inferredcites →https://doi.org/10.1257/aer.20151569openalex-snapshot
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
inferredcites →https://doi.org/10.1257/aer.20161852openalex-snapshot
Narrative Sign Restrictions for SVARs
inferredcites →https://doi.org/10.1287/mnsc.2019.3445openalex-snapshot
The Financialization of Storable Commodities
inferredcites →https://doi.org/10.1287/mnsc.2023.4797openalex-snapshot
Financialization and Commodity Markets Serial Dependence
inferredcites →https://doi.org/10.2139/ssrn.3730468openalex-snapshot
Quantile Factor Models
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