Commodity Futures
The Skewness of Commodity Futures Returns
... the commodity skewness, Equation (1), at the end of each month t using filtered-returns instead of observed returns as until ...daily commodity futures excess returns spanned in [t-11, t] windows on ...
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International Linkages of the Indian Commodity Futures Markets
... Indian futures prices adjust to any discrepancy from long run equilibrium whereas the world prices are exogenous to the ...agricultural futures market is unidirectional and approximately 30% - 40% ...
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Financialization and Structural Change in Commodity Futures Markets
... million futures and options ...other commodity futures such as Chicago Board of Trade wheat (Figure 1), and Chicago Mercantile Exchange live cattle and lean hogs (Figure ...soybean futures had ...
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Commodity Futures Trading Commission CEA CASES
... the Commodity Exchange Act; (2) made misleading and false reports and statements in connection with the making of contracts of sale of commodities for future delivery made or to be made on or subject to the rules ...
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Factor Pricing in Commodity Futures and the Role of Liquidity
... the commodity CAPM by improving the goodness of fit and reducing abnormal ...modeling commodity futures ...the commodity CAPM and the risk premiums of the discovered factors are ...
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Volatility transmission across commodity futures markets.
... distorted commodity prices and caused excessive volatility (Nazlioglu, Erdem, and Soytas 2013; Cheng and Xiong ...in commodity markets are cause for concern (Stoll and Whaley 2010; Irwin and Sanders ...
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The predictive performance of commodity futures risk factors
... all commodity futures contracts are sorted into five portfolios based on their ...value commodity futures ...portfolio-specific futures basis as the instrumental variable z ...
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Is idiosyncratic volatility priced in commodity futures markets?
... of commodity futures contracts is informed by the theory of storage of Kaldor (1939), Working (1949) and Brennan (1958) and the hedging pressure hypothesis of Keynes (1930), Cootner (1960) and Hirshleifer ...
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The Return–Volatility Relation in Commodity Futures Markets
... gold futures market. Thus the gold futures volatility for all maturities has a similar response to return shocks as the spot gold volatility, see Baur ...investment commodity futures markets ...
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Globalization and Financialization of Emerging Commodity Futures
... to commodity markets, exchange rates have become an important predictor of commodity ...global commodity prices. Cuddington and Liang (2003) examine the commodity price volatility across fixed ...
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Effects of index-fund investing on commodity futures prices
... in commodity futures prices could be predicted on the basis of the positions of different types of commodity ...of futures contracts for the three commodities they studied (crude oil, natural ...
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Volatility forecasting in the Chinese commodity futures market with intraday data
... Equally important for the volatility forecast comparison is the choice of the true volatility proxy. While true volatility is a latent variable that cannot be observed in the market, an efficient and accurate ...
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The volatility of returns from commodity futures: evidence from India
... Volatility plays a vital role in derivative pricing, hedging, risk management, and optimal portfolio selection. The concept of volatility relates to the uncertainty or risk about an asset’ s value. A higher volatility ...
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Trend Following,Risk Parity and Momentum in Commodity Futures
... The long investments in winner portfolios show high and significant positive excess returns for momentum calculation periods at the short and long ends. This is greatest at the longer end; 12-month momentum provides an ...
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Foreign Currency Mortgages Recast as Options on Commodity Futures
... the futures contract, and purchases the foreign currency at an affordable ...1-year futures contracts, paid from a high-return portfolio of oil, gold and silver, which have higher returns than the ...
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Trend following, risk parity and momentum in commodity futures
... A few studies have sought to combine the momentum and trend-following strategies. Faber (2010) examines momentum and a form of trend following in equity sector investing in the United States. Antonacci (2012) analyses ...
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Facts and Fantasies about Commodity Futures
... of commodity futures in our index are traded on US exchanges – with the exception of some metals that are traded in ...some commodity futures (gold, crude oil) are probably integrated with ...
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The Fundamentals of Commodity Futures Returns
... most commodity futures contracts call for physical delivery at a particular location, futures prices should reflect the perceived relative scarcity of the amount of the commodity which is ...
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How attractive is the Commodity Futures in India?
... against futures markets which points to the various flaws- inflation or rising price volatility is one of such major ...of commodity futures as an asset vis-à-vis other financial assets in ...of ...
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Dynamic modeling of commodity futures prices
... on commodity futures prices by imple- menting nonlinear dynamic models apt to reproduce the patterns of speculative bubbles observed on the commodity price ...
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