EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES

DOI10.1111/IERE.12099zbMath1405.91620OpenAlexW2333630357MaRDI QIDQ5245739

James D. Hamilton, Jing Cynthia Wu

Publication date: 15 April 2015

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w19892.pdf

zbMATH Keywords

commodity futures pricesindex-fund investing

Mathematics Subject Classification ID

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

Related Items (7)

Predictability of structural co-movement in commodity prices: the role of technical indicators ⋮ Local Gaussian correlations in financial and commodity markets ⋮ Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help? ⋮ Estimating the term structure of commodity market preferences ⋮ Can commodities dominate stock and bond portfolios? ⋮ An Equilibrium Model for Spot and Forward Prices of Commodities ⋮ Hedging pressure and speculation in commodity markets

Cites Work

• Identification and estimation of Gaussian affine term structure models
• Estimating the dimension of a model
• Estimating and Testing Linear Models with Multiple Structural Changes
• Unnamed Item

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