Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets
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More about this item
Keywords
Inflation; Core Inflation; Commodity Futures; Oil Futures; Breakeven Inflation Rates; Cross-Hedging; Inflation Pass-Through; Multi-dimensional Gaussian Model; Signal Processing; Kalman Filter; Equilibrium Pricing; Schwartz-Smith Model;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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