An Anatomy of Commodity Futures Risk Premia
Author:
Publisher
Elsevier BV
Reference10 articles.
1. The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield;Peng Liu;Journal of Empirical Finance,2011
2. Common risk factors in currency markets;Hanno Lustig;Review of Financial Studies forthcoming,2011
3. Commodity liquidity measurement and transaction costs;Ben R Marshall;Review of Financial Studies,2012
4. Momentum strategies in commodity futures markets;Joelle Mi�re;Journal of Banking and Finance,2007
5. Futures prices as risk-adjusted forecasts of monetary policy;Monika Piazzesi;Journal of Monetary Economics,2008
Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Carry;SSRN Electronic Journal;2015
2. Are there common factors in individual commodity futures returns?;Journal of Banking & Finance;2014-03
3. Carry;SSRN Electronic Journal;2013
4. The Fundamentals of Commodity Futures Returns;Review of Finance;2012-08-08
5. Limits to Arbitrage and the Skewness Risk Premium in Options Markets;SSRN Electronic Journal;2012
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