Factor pricing in commodity futures and the role of liquidity

DOI10.1080/14697688.2017.1312506MaRDI QIDQ4555178zbMATH OpenOpenAlexFDO

Authors Terence T. L. Chong, Sunny Chun Tsui, Wing H. Chan

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/80555/1/MPRA_paper_80555.pdf

zbMATH Keywords

commodity futuresliquiditymomentumrisk premiumroll yield

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

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• Adaptive expectations and commodity risk premiums
• Return and volatility co-movement in commodity futures markets: the effects of liquidity risk

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