Exploiting the dynamics of commodity futures curves
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DOI: 10.1016/j.jbankfin.2023.106965
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Cited by:
- John Hua Fan & Tingxi Zhang, 2024. "Commodity premia and risk management," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1097-1116, July.
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More about this item
Keywords
Commodity futures; Nelson-Siegel model; Slope strategy; Spread;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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