Futures Trading and the Excess Co-movement of Commodity Prices*

DOI10.1093/ROF/RFX039zbMath1425.91404OpenAlexW3021993446MaRDI QIDQ5237853

Benoît Sévi, Yannick le Pen

Publication date: 25 October 2019

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

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/11382

zbMATH Keywords

factor modelfutures tradingcommodity excess co-movement hypothesiscommodity indexheteroscedasticity-corrected correlation

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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