Adaptive expectations and commodity risk premiums

DOI10.1016/j.jedc.2021.104078zbMath1475.91367OpenAlexW3126145758MaRDI QIDQ2246712

Daniele Bianchi

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104078

zbMATH Keywords

commodity marketsadaptive expectationsempirical asset pricingtime series momentumhedging pressure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

Momentum and the cross-section of stock volatility

Uses Software

• bvarsv

Cites Work

• Unnamed Item
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