Commodity Markets, Long-Run Predictability, and Intertemporal Pricing

DOI10.1093/ROF/RFW034MaRDI QIDQ4555676zbMATH OpenOpenAlexFDO

Authors Adrian Fernandez-Perez, Ana-María Fuertes, J. Miffre

Publication date 20 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/13601/1/SSRN_Comm_manuscript.pdf

zbMATH Keywords

backwardationcommoditiescontangoequity portfoliosintertemporal pricinglong-run predictability

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(7)

• Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help?
• Adaptive expectations and commodity risk premiums
• Effects of index-fund investing on commodity futures prices
• Commodity markets through the business cycle
• The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data
• Explaining the persistence of commodity prices
• Economic activity and time variation in expected futures returns

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