Factor pricing in commodity futures and the role of liquidity

DOI10.1080/14697688.2017.1312506zbMATH Open1402.91764OpenAlexW2752214451MaRDI QIDQ4555178FDOQ4555178

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

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zbMATH Keywords

liquidityrisk premiummomentumcommodity futuresroll yield

Mathematics Subject Classification ID

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

Cited In (2)

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

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