Predictability of structural co-movement in commodity prices: the role of technical indicators

DOI10.1080/14697688.2016.1225977MaRDI QIDQ4555111zbMATH OpenOpenAlexFDO

Authors Libo Yin, Qingyuan Yang, Zhi Su

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2016.1225977

zbMATH Keywords

co-movementcommodity returnsfinancialization of commodityprice predictabilitytechnical indicators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Approximately normal tests for equal predictive accuracy in nested models
• Effects of index-fund investing on commodity futures prices

Cited in

(7)

• Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help?
• The role of uncertainty on agricultural futures markets momentum trading and volatility
• Can exchange rates forecast commodity prices?
• Identifying the influential factors of commodity futures prices through a new text mining approach
• Macroeconomic impacts on commodity prices: China vs. the United States
• The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data
• Forecasting commodity prices: empirical evidence using deep learning tools

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