1.
Commodities for the Long Run
Number of pages: 24
Posted: 21 Oct 2016
Last Revised: 27 Jul 2017
Working Paper Series
AQR Capital Management, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
There are 2 versions of this paper
Commodities for the Long Run
Number of pages: 24
Posted: 21 Oct 2016
Last Revised: 27 Jul 2017
Downloads
1,843
Downloads
53
Downloads
1,843
2.
The Economic Impact of Index Investing
Review of Financial Studies, Forthcoming
Number of pages: 85
Posted: 26 Sep 2015
Last Revised: 27 Aug 2020
Working Paper Series
University of Utah - David Eccles School of Business, University of Utah - Department of Finance and University of Kentucky - Gatton College of Business and Economics
Downloads
1,579
3.
Hedging Demand and Market Intraday Momentum
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 60
Posted: 26 Jan 2021
Working Paper Series
Erasmus University Rotterdam (EUR), University of Notre Dame - Mendoza College of Business, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam
Downloads
1,218
4.
Pairs Trading to the Commodities Futures Market Using Cointegration Method
International Journal of Commerce and Finance, Vol. 1, Issue 1, 2015, 25-38
Number of pages: 14
Posted: 15 Jan 2017
Accepted Paper Series
Istanbul Commerce University, Students
Downloads
935
5.
The Commodity Futures Risk Premium: 1871–2018
Number of pages: 47
Posted: 20 Sep 2019
Last Revised: 01 Oct 2019
Working Paper Series
SummerHaven Investment Management, SummerHaven Investment Management and Yale School of Management - International Center for Finance
Downloads
900
6.
Strategies Based on Momentum and Term Structure in Financialized Commodity Markets
Business and Economics Research Journal, 2016, vol. 7, no. 1, pp. 31-46.
Number of pages: 16
Posted: 23 Jul 2014
Last Revised: 09 Apr 2016
Accepted Paper Series
Pozna? University of Economics and Business
Downloads
796
7.
Oil Volatility Risk and Expected Stock Returns
Rotman School of Management Working Paper No. 2399677
Number of pages: 54
Posted: 23 Feb 2014
Last Revised: 04 Dec 2014
Working Paper Series
University of Toronto - Rotman School of Management and University of Oklahoma
Downloads
764
8.
The Financial Regulation of European Wholesale Energy and Environmental Markets
USAEE Working Paper No. 11-070
Number of pages: 28
Posted: 06 Mar 2011
Working Paper Series
CEFGroup & Department of Accountancy and Finance, University of Otago, European University Institute (EUI) and Bangor Business School
Downloads
745
9.
Commodities as Collateral
Forthcoming, Review of Financial Studies
Number of pages: 54
Posted: 17 Nov 2013
Last Revised: 19 Apr 2016
Accepted Paper Series
Institute of Economics, School of Social Sciences, Tsinghua University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
682
10.
Factor Structure in Commodity Futures Return and Volatility
Rotman School of Management Working Paper No. 2495779
Number of pages: 64
Posted: 14 Sep 2014
Last Revised: 26 Jun 2017
Working Paper Series
University of Toronto - Rotman School of Management, Aarhus University - School of Business and Social Sciences and CREATES
Downloads
680
11.
Hedging Pressure and Speculation in Commodity Markets
Economic Theory, Forthcoming
Number of pages: 41
Posted: 10 Sep 2013
Last Revised: 30 Apr 2018
Accepted Paper Series
University of British Columbia (UBC) - Faculty of Education, University Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads
630
12.
Drilling and Debt
Darden Business School Working Paper No. 2939603, Journal of Finance, Forthcoming
Number of pages: 91
Posted: 24 Mar 2017
Last Revised: 29 Aug 2019
Accepted Paper Series
University of Pennsylvania - The Wharton School, University of Virginia - Darden School of Business and University of Virginia - Darden School of Business
Downloads
628
13.
The Untold Story of Commodity Futures in China
Journal of Futures Markets, Forthcoming
Number of pages: 69
Posted: 21 Feb 2018
Last Revised: 26 Jan 2020
Accepted Paper Series
Griffith University - Department of Accounting, Finance and Economics and Griffith University - Department of Accounting, Finance and Economics
Downloads
598
14.
Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach
Number of pages: 35
Posted: 10 Mar 2011
Last Revised: 01 May 2011
Working Paper Series
University of Washington - Department of Economics and Academia Sinica - Institute of Economics
Downloads
489
15.
Fertilizer Fuels Food Prices: Identification Through the Oil-Gas Spread
Number of pages: 14
Posted: 14 Jul 2016
Last Revised: 30 Sep 2016
Working Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management and Polish Academy of Sciences - Institute of Economics (INE PAN)
Downloads
418
16.
On the Hedge and Safe Haven Properties of Bitcoin: Is it Really More than a Diversifier?
Finance Research Letters, Forthcoming
Number of pages: 12
Posted: 15 Oct 2016
Accepted Paper Series
Université Saint Esprit de Kaslik (USEK), University of Stavanger, Université Saint Esprit de Kaslik (USEK), Montpellier Business School and Norwegian University of Science and Technology (NTNU)
Downloads
411
17.
Estudio Sobre El Sector De Fertilizantes En Colombia (The Fertilizer Sector in Colombia)
Estudios Económicos Superintendencia de Industria y Comercio, No. 6, October 2013
Number of pages: 201
Posted: 16 May 2014
Working Paper Series
Superintendencia de Industria y Comercio, Universidad Catolica de Colombia, Superintendencia de Industria y Comercio and Fundación Universitaria Konrad Lorenz
Downloads
386
18.
Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence
Number of pages: 59
Posted: 24 Jan 2019
Last Revised: 26 Jun 2020
Working Paper Series
Pozna? University of Economics and Business, Griffith University and Poznan University of Economics and Business
Downloads
362
19.
Political Uncertainty and Commodity Markets
Fisher College of Business Working Paper No. 2017-03-025, Charles A. Dice Center Working Paper No. 2017-25
Number of pages: 54
Posted: 06 Nov 2017
Last Revised: 08 Jun 2020
Working Paper Series
Ohio State University (OSU) - Department of Finance, Institute of Economics, School of Social Sciences, Tsinghua University and The Chinese University of Hong Kong, Shenzhen
Downloads
359
20.
Portfolio Diversification with Commodities in Times of Financialization
International Journal of Finance & Banking Studies, 2015, vol. 4, no. 1, pp. 18-36
Number of pages: 19
Posted: 05 Nov 2013
Last Revised: 05 Mar 2015
Accepted Paper Series
Pozna? University of Economics and Business
Downloads
348
21.
Determinants of Volatile Commodity Prices
Number of pages: 27
Posted: 16 Jan 2013
Last Revised: 17 Jan 2013
Working Paper Series
ICRIER
Downloads
333
22.
Oil and Debt
BIS Quarterly Review March 2015
Number of pages: 11
Posted: 01 Apr 2015
Working Paper Series
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads
331
23.
The Impact of Commodity Benchmarks on Derivatives Markets: The Case of the Dated Brent Assessment and Brent Futures
Journal of Banking and Finance, 2018
Number of pages: 53
Posted: 15 Jan 2016
Last Revised: 21 Nov 2018
Accepted Paper Series
Macquarie University, University of Edinburgh, Macquarie Graduate School of Management and Osmosis Investment Management
Downloads
297
24.
Liquidity Timing in Commodity Markets and the Impact of Financialization
Number of pages: 49
Posted: 29 Oct 2015
Last Revised: 06 Oct 2016
Working Paper Series
Washington University in St. Louis - John M. Olin Business School and Northwestern University
Downloads
291
25.
Impact of India's Demonetization on Domestic Agricultural Markets
Number of pages: 59
Posted: 08 Nov 2017
Working Paper Series
Indian Institute of Management (IIMU), Udaipur and Indira Gandhi Institute of Development Research (IGIDR)
Downloads
272
26.
The Risk Premium of Gold
Journal of International Money and Finance, Forthcoming
Number of pages: 63
Posted: 22 Nov 2017
Last Revised: 22 Mar 2019
Accepted Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads
264
27.
Bayesian Model Averaging, Ordinary Least Squares and the Price of Gold
Number of pages: 28
Posted: 09 Feb 2017
Working Paper Series
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads
257
28.
An Inflation Hedging Strategy with Commodities: A Core Driven Global Macro
The Journal of Investment Strategies, Risk - Summer Issue, June 2013
, 51st Euro Working Group on Commodities and Financial Modelling Meeting Paper - London 2013, 20th Forecasting Financial Markets Conference Paper - Hannover 2013, Asian Finance Association (AsFA) 2013 Conference Paper - Nanchang 2013
Number of pages: 27
Posted: 27 Mar 2012
Last Revised: 04 Jul 2013
Accepted Paper Series
Oliver Wyman SA
Downloads
238
29.
Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices
Number of pages: 42
Posted: 30 Apr 2014
Last Revised: 18 May 2018
Working Paper Series
University Paris Dauphine, Lausanne University, Swiss Institute of Bioinformatics and University of Illinois at Urbana-Champaign
There are 2 versions of this paper
Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices
Number of pages: 42
Posted: 30 Apr 2014
Last Revised: 18 May 2018
Downloads
236
Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices
The Energy Journal 40(3): 125-153, 2019
Posted: 24 Jun 2019
Last Revised: 06 Sep 2019
Downloads
236
30.
A Multifactor Stochastic Volatility Model of Commodity Prices
Number of pages: 60
Posted: 20 Jul 2016
Working Paper Series
Pontificia Universidad Catolica de Chile, University of California, Berkeley, Haas School of Business, Financial Engineering, Students and University of Miami - Department of Finance
Downloads
235
31.
Which Risk Factors Drive Oil Futures Price Curves?
Number of pages: 63
Posted: 20 Sep 2016
Last Revised: 03 Feb 2020
Working Paper Series
The Institute of Statistical Mathematics, ESC Rennes School of Business, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads
233
32.
Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics
Alternative Investment Analyst Review - CAIA, Volume 2 (3) 2013, 2nd European Conference on Banking and the Economy 2013 Paper - Winchester UK, Eurobanking 2013 Annual Meeting Paper - Paris
Number of pages: 15
Posted: 08 Nov 2012
Last Revised: 11 Dec 2013
Accepted Paper Series
Oliver Wyman SA
Downloads
230
33.
Inflation, Business Cycles, and Commodity Investing in Financialized Markets
Business and Economics Research Journal Volume 6 Number 1 2015
Number of pages: 18
Posted: 02 Feb 2014
Last Revised: 23 Feb 2015
Accepted Paper Series
Pozna? University of Economics and Business
Downloads
229
34.
Investment in Hydropower in Nepal
IPBA (Inter-Pacific Bar Association) Journal, September 2014
Number of pages: 4
Posted: 30 Dec 2014
Accepted Paper Series
Independent
Downloads
220
35.
Noncausality and the Commodity Currency Hypothesis
Energy Economics, 65, 424-433, (2017)
Number of pages: 20
Posted: 24 Apr 2015
Last Revised: 02 Sep 2018
Accepted Paper Series
Aalto University and University of Turku
Downloads
215
36.
Expectations, Fundamentals, and Asset Returns: Evidence from the Commodity Markets
Number of pages: 72
Posted: 25 Jun 2016
Last Revised: 18 Oct 2016
Working Paper Series
Cass Business School and City University London - Faculty of Finance
Downloads
201
37.
Domestic and External Drivers of Maize Prices in Tanzania
Number of pages: 48
Posted: 18 Feb 2015
Last Revised: 21 Mar 2015
Working Paper Series
World Bank, Independent and World Bank - Development Economics Group (DEC)
Downloads
200
38.
Risk Premia and Seasonality in Commodity Futures
Bank of England Working Paper No. 591
Number of pages: 68
Posted: 06 May 2016
Working Paper Series
Universidad Torcuato Di Tella - Departamento de Economia, University of Warwick and Universidad Torcuato Di Tella
There are 2 versions of this paper
Risk Premia and Seasonality in Commodity Futures
Bank of England Working Paper No. 591
Number of pages: 68
Posted: 06 May 2016
Downloads
193
Risk Premia and Seasonality in Commodity Futures
CEPR Discussion Paper No. DP11169
Number of pages: 68
Posted: 18 Apr 2016
Last Revised: 12 Mar 2018
Downloads
2
Downloads
193
39.
CITES II or The Second Convention on International Trade in Endangered Species of Wild Fauna and Flora
Number of pages: 32
Posted: 31 Oct 2016
Working Paper Series
Independent
Downloads
192
40.
Common Factors of Commodity Prices
ECB Working Paper No. 2112
Number of pages: 43
Posted: 20 Nov 2017
Working Paper Series
European Central Bank, SKEMA Business School and Centre for Economic Policy Research (CEPR)
There are 3 versions of this paper
Common Factors of Commodity Prices
ECB Working Paper No. 2112
Number of pages: 43
Posted: 20 Nov 2017
Downloads
189
Common Factors of Commodity Prices
Banque de France Working Paper No. 645
Number of pages: 37
Posted: 03 Oct 2017
Downloads
127
Common Factors of Commodity Prices
CEPR Discussion Paper No. DP12767
Number of pages: 43
Posted: 06 Mar 2018
Downloads
1
Downloads
189
41.
Commodity Price Booms and Breaks: Detection, Magnitude and Implications for Developing Countries
IDB Working Paper No. IDB-WP-444
Number of pages: 45
Posted: 25 Jan 2014
Working Paper Series
El Colegio de Mexico and Universidad Torcuato Di Tella - School of Business
Downloads
183
42.
The Most Predictive Energy Search Terms
Stevens Institute of Technology School of Business Research Paper No. 2853004
Number of pages: 24
Posted: 17 Oct 2016
Last Revised: 16 Jan 2017
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - College of Arts and Letters and Economic Research Forum
Downloads
183
43.
Financialization and Commodity Market Serial Dependence
Number of pages: 65
Posted: 06 Dec 2018
Last Revised: 02 Nov 2020
Working Paper Series
University of Notre Dame - Mendoza College of Business, Institute of Economics, School of Social Sciences, Tsinghua University, Singapore Management University - School of Economics and University of Toronto - Rotman School of Management
Downloads
179
44.
Electricity Forward Curves with Thin Granularity
Number of pages: 43
Posted: 12 May 2016
Last Revised: 12 Feb 2017
Working Paper Series
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and ESSEC Business School
Downloads
175
45.
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
Number of pages: 24
Posted: 03 Dec 2016
Working Paper Series
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Edith Cowan University
Downloads
163
46.
Volatility Risk Premia and Future Commodities Returns
BIS Working Paper No. 619
Number of pages: 32
Posted: 01 Apr 2017
Last Revised: 06 Jul 2017
Working Paper Series
Banco Central do Brasil and Banco Central do Brasil
Downloads
161
47.
Underlying Trends and International Price Transmission of Agricultural Commodities
Asian Development Bank Economics Working Paper Series No. 257
Number of pages: 51
Posted: 03 Jul 2011
Working Paper Series
University of Bath - Department of Economics
Downloads
160
48.
Commodity Exposure, Financial and Operational Hedging of US Oil and Gas Companies
Number of pages: 27
Posted: 16 Feb 2017
Working Paper Series
Trinity Business School, Trinity Business School, Trinity College Dublin and Trinity College (Dublin)
Downloads
156
49.
Permanent and Transitory Price Shocks in Commodity Futures Markets and Their Relation to Storage and Speculation
Number of pages: 40
Posted: 05 Mar 2013
Working Paper Series
University of Basel - Center for Economic Science (WWZ) - Department of Finance, Lucerne University of Applied Sciences and Arts, School of Business, Institute of Financial Services Zug, IFZ and University of Basel - Center for Economic Science (WWZ)
Downloads
155
50.
The Role of Gold and the VIX in Investment Portfolios – A Financial and Sustainability Perspective
Number of pages: 24
Posted: 14 Nov 2017
Working Paper Series
University of Western Australia - Business School and University of Hamburg
Downloads
152
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