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Correlation and Commodity Risk Premia
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/(sici)1096-9934(199704)17:2<229::aid-fut5>3.0.co;2-lopenalex-snapshot
Futures market transaction costs
inferredcites →https://doi.org/10.1002/fut.22175openalex-snapshot
Volatility‐managed commodity futures portfolios
inferredcites →https://doi.org/10.1002/fut.22195openalex-snapshot
Managing volatility in commodity momentum
inferredcites →https://doi.org/10.1002/fut.22507openalex-snapshot
Commodity premia and risk management
inferredcites →https://doi.org/10.1016/j.eneco.2018.10.022openalex-snapshot
The asymmetric return-volatility relationship of commodity prices
inferredcites →https://doi.org/10.1016/j.jbankfin.2006.12.005openalex-snapshot
Momentum strategies in commodity futures markets
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.2017.06.015openalex-snapshot
The skewness of commodity futures returns
inferredcites →https://doi.org/10.1016/j.jbankfin.2020.105807openalex-snapshot
Factor Based Commodity Investing
inferredcites →https://doi.org/10.1016/j.jfineco.2007.12.005openalex-snapshot
High idiosyncratic volatility and low returns: International and further U.S. evidence
inferredcites →https://doi.org/10.1016/j.jfineco.2010.02.011openalex-snapshot
Average correlation and stock market returns
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.2013.03.003openalex-snapshot
Limits to arbitrage and hedging: Evidence from commodity markets
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.jfineco.2014.11.010openalex-snapshot
Momentum has its moments
inferredcites →https://doi.org/10.1016/j.jfineco.2021.02.009openalex-snapshot
Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?
inferredcites →https://doi.org/10.1016/j.jimonfin.2019.102063openalex-snapshot
The economic drivers of commodity market volatility
inferredcites →https://doi.org/10.1093/jjfinec/nbs024openalex-snapshot
Broker-Dealer Risk Appetite and Commodity Returns
inferredcites →https://doi.org/10.1093/rfs/1.2.173openalex-snapshot
Residual Risk, Trading Costs, and Commodity Futures Risk Premia:
inferredcites →https://doi.org/10.1093/rfs/5.4.637openalex-snapshot
Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets
inferredcites →https://doi.org/10.1093/rfs/hhab117openalex-snapshot
Comomentum: Inferring Arbitrage Activity from Return Correlations
inferredcites →https://doi.org/10.1093/rfs/hhs084openalex-snapshot
Does Idiosyncratic Volatility Proxy for Risk Exposure?
inferredcites →https://doi.org/10.1093/rfs/hht048openalex-snapshot
Determinants of Trader Profits in Commodity Futures Markets
inferredcites →https://doi.org/10.1093/rof/rfs019openalex-snapshot
The Fundamentals of Commodity Futures Returns
inferredcites →https://doi.org/10.1093/rof/rfx039openalex-snapshot
Futures Trading and the Excess Co-movement of Commodity Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-snapshot
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01467.xopenalex-snapshot
The Price of Correlation Risk: Evidence from Equity Options
inferredcites →https://doi.org/10.1111/jofi.12095openalex-snapshot
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
inferredcites →https://doi.org/10.1111/jofi.12096openalex-snapshot
An Anatomy of Commodity Futures Risk Premia
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/10.1287/mnsc.2017.2840openalex-snapshot
Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns
inferredcites →https://doi.org/10.1287/mnsc.2021.4068openalex-snapshot
The Time Variation in Risk Appetite and Uncertainty
inferredcites →https://doi.org/10.1287/mnsc.2023.4797openalex-snapshot
Financialization and Commodity Markets Serial Dependence
inferredcites →https://doi.org/10.2469/faj.v62.n2.4083openalex-snapshot
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.v68.n6.5openalex-snapshot
Index Investment and the Financialization of Commodities
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