Adaptive expectations and commodity risk premiums

Author:

Bianchi Daniele

Funder

Inquire Europe

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference81 articles.

1. Acharya, V., Lochstoer, L. A., Ramadorai, T., 2010. Does hedging affect commodity prices? the role of producer default risk. Working Paper, London Business School.

2. Limits to arbitrage and hedging: Evidence from commodity markets;Acharya;J. Financ. Econ.,2013

3. Internal rationality, imperfect market knowledge and asset prices;Adam;J. Econ. Theory,2011

4. What do we learn from the price of crude oil futures?;Alquist;J. Appl. Econometr.,2010

5. Does realized skewness predict the cross-section of equity returns?;Amaya;J. Financ. Econ.,2015

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1. Hedging pressure and oil volatility: Insurance versus liquidity demands;Journal of Futures Markets;2023-11-06

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