The geopolitical risk premium in the commodity futures market
暂无分享,去创建一个
[1] John Hua Fan,et al. Wisdom of Crowds and Commodity Pricing , 2023, SSRN Electronic Journal.
[2] A. Tiwari,et al. Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks , 2020 .
[3] D. Baur,et al. Hedging geopolitical risk with precious metals , 2020 .
[4] John Hua Fan,et al. Commodity Futures Momentum: Sources of Risk and Anomalies , 2020 .
[5] Feng Ma,et al. Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models , 2020 .
[6] Ke Tang,et al. Relative Basis and Expected Returns in Commodity Futures Markets , 2019 .
[7] Itay Goldstein,et al. Commodity Financialization and Information Transmission , 2019, The Journal of Finance.
[8] M. Boons,et al. Basis‐Momentum , 2018, The Journal of Finance.
[9] Matteo Iacoviello,et al. Measuring Geopolitical Risk , 2018, International Finance Discussion Papers.
[10] Ke Tang,et al. Political Uncertainty and Commodity Markets , 2017 .
[11] Ana‐Maria Fuertes,et al. The Skewness of Commodity Futures Returns , 2015 .
[12] John Hua Fan,et al. Commodities momentum: A behavioral perspective , 2016 .
[13] Ping-Hong Yuan,et al. Macroeconomic factors and the cross-section of commodity futures returns , 2016 .
[14] Turan G. Bali,et al. Is Economic Uncertainty Priced in the Cross-Section of Stock Returns? , 2016 .
[15] E. Fama,et al. A Five-Factor Asset Pricing Model , 2014 .
[16] Charoula Daskalaki,et al. Are There Common Factors in Individual Commodity Futures Returns , 2014 .
[17] Wei Xiong,et al. The Financialization of Commodity Markets , 2013 .
[18] L. Pedersen,et al. Carry , 2013 .
[19] Clifford S. Asness,et al. Value and Momentum Everywhere: Value and Momentum Everywhere , 2013 .
[20] F. D. Roon,et al. An Anatomy of Commodity Futures Risk Premia , 2013 .
[21] S. Davis,et al. Measuring Economic Policy Uncertainty , 2013 .
[22] Fan Yang. Investment Shocks and the Commodity Basis Spread , 2011 .
[23] Wei Xiong,et al. Index Investment and the Financialization of Commodities , 2010 .
[24] Taufiq Choudhry. World War II events and the Dow Jones industrial index , 2010 .
[25] M. Chesney,et al. The Impact of Terrorism on Financial Markets: An Empirical Study , 2010 .
[26] Fumio Hayashi,et al. The Fundamentals of Commodity Futures Returns , 2007 .
[27] Gerald Schneider,et al. War and the World Economy , 2006 .
[28] Athanasios Orphanides,et al. The Macroeconomic Consequences of Terrorism , 2004, SSRN Electronic Journal.
[29] J. Campbell. Intertemporal Asset Pricing Without Consumption Data , 1992 .
[30] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[31] R. C. Merton,et al. AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL , 1973 .
[32] E. Fama,et al. Risk, Return, and Equilibrium: Empirical Tests , 1973, Journal of Political Economy.
[33] M. Kannadhasan,et al. Geopolitical risk and precious metals , 2019 .
[34] Xiaohui Gao,et al. Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns , 2019, Manag. Sci..
[35] M. Pavaskar. Theory of price of storage. , 2010 .
[36] E. Fama,et al. Commodity futures prices: some evidence on forecast power , 1987 .