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Momentum strategies in commodity futures markets
Citations
Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Momentum Redux
by quantivity in Quantivity on 2011-06-19 09:14:45
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Andrew Clare & James Seaton & Peter N Smith & Stephen Thomas, 2013.
"Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500,"
Journal of Asset Management, Palgrave Macmillan, vol. 14(3), pages 182-194, June.
- Andrew Clare & James Seaton & Peter N Smith & Stephen Thomas, 2012. "BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500," Discussion Papers 12/11, Department of Economics, University of York.
- Schmidhuber, Christof, 2021. "Trends, reversion, and critical phenomena in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
- Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2020.
"Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 164-180.
- Hossein Rad & Rand Low & Joelle Miffre & Robert Faff, 2020. "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Post-Print hal-02868473, HAL.
- repec:dau:papers:123456789/11711 is not listed on IDEAS
- Harris, Richard D.F. & Yilmaz, Fatih, 2009. "A momentum trading strategy based on the low frequency component of the exchange rate," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1575-1585, September.
- Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013.
"An analysis of commodity markets: What gain for investors?,"
Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3878-3889.
- Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: what gain for investors?," Working Papers fe_2013_02, Deakin University, Department of Economics.
- Mario Cerrato & Zhekai Zhang, 2019. "Can we predict currency momentum crashes?," Working Papers 2019_12, Business School - Economics, University of Glasgow.
- Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
- Shi, Huai-Long & Zhou, Wei-Xing, 2017.
"Time series momentum and contrarian effects in the Chinese stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 309-318.
- Huai-Long Shi & Wei-Xing Zhou, 2017. "Time series momentum and contrarian effects in the Chinese stock market," Papers 1702.07374, arXiv.org.
- Libo Yin & Qingyuan Yang & Zhi Su, 2017. "Predictability of structural co-movement in commodity prices: the role of technical indicators," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 795-812, May.
- Sina Ehsani & Juhani T. Linnainmaa, 2019. "Factor Momentum and the Momentum Factor," NBER Working Papers 25551, National Bureau of Economic Research, Inc.
- Zaremba, Adam & Mikutowski, Mateusz & Karathanasopoulos, Andreas & Osman, Mohamed, 2019. "Picking winners to pick your winners: The momentum effect in commodity risk factors," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Philip A. Stork, 2011. "The intertemporal mechanics of European stock price momentum," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 28(3), pages 217-232, August.
- Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
- Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
- Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu, 2018.
"Economic significance of commodity return forecasts from the fractionally cointegrated VAR model,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 219-242, February.
- Sepideh Dolatabadi & Ke Xu & Morten Ø. Nielsen & Paresh Kumar Narayan, 2017. "Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model," Working Paper 1337, Economics Department, Queen's University.
- Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu, 2017. "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model," CREATES Research Papers 2018-35, Department of Economics and Business Economics, Aarhus University.
- Miffre, Joëlle & Brooks, Chris, 2013. "Do long-short speculators destabilize commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 230-240.
- Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2016. "Is idiosyncratic volatility priced in commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 219-226.
- repec:ags:aaea22:335655 is not listed on IDEAS
- Ho, Hwai-Chung & Wang, Hsiao-Chuan, 2018. "Momentum lost and found in corporate bond returns," Journal of Financial Markets, Elsevier, vol. 38(C), pages 60-82.
- Jangkoo Kang & Kyung Yoon Kwon, 2021. "Volatility‐managed commodity futures portfolios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 159-178, February.
- Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2022.
"Momentum and the Cross-section of Stock Volatility,"
Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2020. "Momentum and the Cross-Section of Stock Volatility," QBS Working Paper Series 2020/01, Queen's University Belfast, Queen's Business School.
- Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the time-varying dynamics of stock and commodity momentum returns," Finance Research Letters, Elsevier, vol. 46(PB).
- Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
- Hutchinson, Mark C. & O'Brien, John, 2020. "Time series momentum and macroeconomic risk," International Review of Financial Analysis, Elsevier, vol. 69(C).
- Szakmary, Andrew C. & Shen, Qian & Sharma, Subhash C., 2010. "Trend-following trading strategies in commodity futures: A re-examination," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 409-426, February.
- Yang, Yurun & Göncü, Ahmet & Pantelous, Athanasios A., 2018. "Momentum and reversal strategies in Chinese commodity futures markets," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 177-196.
- Han, Yufeng & Hu, Ting & Yang, Jian, 2016. "Are there exploitable trends in commodity futures prices?," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 214-234.
- Mario Cerrato & Zhekai Zhang, 2019. "Can we predict currency momentum crashes?," Working Papers 2019-12, Business School - Economics, University of Glasgow.
- Guglielmo Maria Caporale & Alex Plastun, 2020. "Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets," CESifo Working Paper Series 8783, CESifo.
- Ahn, Jung-Hyun & Six, Pierre, 2019. "A study of first generation commodity indices: Indices based on financial diversification," Finance Research Letters, Elsevier, vol. 30(C), pages 194-200.
- Wen, Zhuzhu & Gong, Xu & Ma, Diandian & Xu, Yahua, 2021. "Intraday momentum and return predictability: Evidence from the crude oil market," Economic Modelling, Elsevier, vol. 95(C), pages 374-384.
- Yasuhiro Iwanaga & Ryuta Sakemoto, 2023. "Commodity momentum decomposition," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 198-216, February.
- Sakkas, Athanasios & Tessaromatis, Nikolaos, 2020. "Factor based commodity investing," Journal of Banking & Finance, Elsevier, vol. 115(C).
- John Hua Fan & Adrian Fernandez‐Perez & Ana‐Maria Fuertes & Joëlle Miffre, 2020.
"Speculative pressure,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 575-597, April.
- John Hua & Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2020. "Speculative Pressure," Post-Print hal-02500777, HAL.
- Yan, Lei & Garcia, Philip, 2017. "Portfolio investment: Are commodities useful?," Journal of Commodity Markets, Elsevier, vol. 8(C), pages 43-55.
- Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
- de Groot, Wilma & Karstanje, Dennis & Zhou, Weili, 2014. "Exploiting commodity momentum along the futures curves," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 79-93.
- Aboura, Sofiane & Chevallier, Julien, 2014.
"Cross-market index with Factor-DCC,"
Economic Modelling, Elsevier, vol. 40(C), pages 158-166.
- Julien Chevallier & Sofiane Aboura, 2014. "Cross-market index with Factor-DCC," Post-Print hal-01531234, HAL.
- Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2022.
"The illusion of oil return predictability: The choice of data matters!,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
- Thomas Conlon & John Cotter & Emmanuel Eyiah-Donkor, 2022. "The illusion of oil return predictability: The choice of data matters!," Post-Print hal-03519860, HAL.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2014.
"European Equity Investing through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?,"
CAMA Working Papers
2014-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2014. "European Equity Investing through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?," Discussion Papers 14/02, Department of Economics, University of York.
- Štefan Lyócsa & Peter Molnár, 2016. "Volatility forecasting of strategically linked commodity ETFs: gold-silver," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1809-1822, December.
- Ying Hao & Hsiang-Hui Chu & Kuan-Cheng Ko & Lin Lin, 2016. "Momentum Strategies and Investor Sentiment in the REIT Market," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 41-71, March.
- van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
- Paschke, Raphael & Prokopczuk, Marcel & Wese Simen, Chardin, 2020. "Curve momentum," Journal of Banking & Finance, Elsevier, vol. 113(C).
- Fan, Minyou & Li, Youwei & Liu, Jiadong, 2018.
"Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches,"
Research in International Business and Finance, Elsevier, vol. 46(C), pages 131-140.
- Fan, Minyou & Li, Youwei & Liu, Jiadong, 2017. "Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches," MPRA Paper 83510, University Library of Munich, Germany.
- Fuertes, Ana-Maria & Zhao, Nan, 2023.
"A Bayesian perspective on commodity style integration,"
Journal of Commodity Markets, Elsevier, vol. 30(C).
- Fuertes, Ana-Maria & Zhao, Nan, 2022. "A Bayesian Perspective on Commodity Style Integration," MPRA Paper 117831, University Library of Munich, Germany, revised 2023.
- Tse, Yiuman, 2015. "Momentum strategies with stock index exchange-traded funds," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 134-148.
- Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen, 2014.
"Trend following, risk parity and momentum in commodity futures,"
International Review of Financial Analysis, Elsevier, vol. 31(C), pages 1-12.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012. "Trend Following, Risk Parity and Momentum in Commodity Futures," Discussion Papers 12/28, Department of Economics, University of York.
- Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Gonzalez-Fernandez, Marcos & Miffre, Joelle, 2020.
"Fear of hazards in commodity futures markets,"
Journal of Banking & Finance, Elsevier, vol. 119(C).
- Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Gonzalez-Fernandez, Marcos & Miffre, Joelle, 2019. "Fear of Hazards in Commodity Futures Markets," MPRA Paper 100528, University Library of Munich, Germany, revised 06 May 2020.
- Adrian Fernandez-Perez & Ana-Maria Fuertes & Marcos Gonzalez-Fernandez & Joelle Miffre, 2020. "Fear of Hazards in Commodity Futures Markets," Post-Print hal-02931680, HAL.
- Grobys, Klaus & Sapkota, Niranjan, 2019. "Cryptocurrencies and momentum," Economics Letters, Elsevier, vol. 180(C), pages 6-10.
- Michael T. Chng, 2010. "Comparing Different Economic Linkages Among Commodity Futures," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(9‐10), pages 1348-1389, November.
- Papailias, Fotis & Liu, Jiadong & Thomakos, Dimitrios D., 2021.
"Return signal momentum,"
Journal of Banking & Finance, Elsevier, vol. 124(C).
- Papailias, Fotis & Liu, Jiadong & Thomakos, Dimitrios D., 2019. "Return Signal Momentum," QBS Working Paper Series 2019/04, Queen's University Belfast, Queen's Business School.
- Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021.
"The risk premia of energy futures,"
Energy Economics, Elsevier, vol. 102(C).
- Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2021. "The Risk Premia of Energy Futures," Post-Print hal-03312959, HAL.
- Qi Xu & Yang Ye, 2023. "Commodity network and predictable returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1423-1449, October.
- Zaremba, Adam, 2016. "Strategies Based on Momentum and Term Structure in Financialized Commodity Markets," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 31-46, January.
- Enrique Benavides Rosales, 2017. "Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1339772-133, January.
- Psaradellis, Ioannis & Laws, Jason & Pantelous, Athanasios A. & Sermpinis, Georgios, 2023. "Technical analysis, spread trading, and data snooping control," International Journal of Forecasting, Elsevier, vol. 39(1), pages 178-191.
- Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
- Daniel Hofmann & Karl Ludwig Keiber, 2021. "Seasonalities in the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(2), pages 151-192, June.
- Tafadzwa Mugwagwa & Vikash Ramiah & Imad Moosa, 2015. "The Profitability of Option-Based Contrarian Strategies: An Empirical Analysis," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 1-26, March.
- Kim, Soo-Hyun & Kang, Hyoung-Goo, 2014. "A new strategy using term-structure dynamics of commodity futures," Finance Research Letters, Elsevier, vol. 11(3), pages 282-288.
- Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
- Day, Min-Yuh & Ni, Yensen, 2023. "Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?," Energy, Elsevier, vol. 272(C).
- Seungho Baek & Mina Glambosky & Seok Hee Oh & Jeong Lee, 2020. "Machine Learning and Algorithmic Pairs Trading in Futures Markets," Sustainability, MDPI, vol. 12(17), pages 1-24, August.
- Chaves, Denis B. & Viswanathan, Vivek, 2016. "Momentum and mean-reversion in commodity spot and futures markets," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 39-53.
- Boos, Dominik & Grob, Linus, 2023. "Tracking speculative trading," Journal of Financial Markets, Elsevier, vol. 64(C).
- Theissen, Erik & Yilanci, Can, 2020. "Momentum? What Momentum?," CFR Working Papers 20-09, University of Cologne, Centre for Financial Research (CFR).
- Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.
- Fernandez-Perez, Adrian & Frijns, Bart & Fuertes, Ana-Maria & Miffre, Joelle, 2018.
"The skewness of commodity futures returns,"
Journal of Banking & Finance, Elsevier, vol. 86(C), pages 143-158.
- Adrian Fernandez-Perez & Bart Frijns & Ana-Maria Fuertes & Joelle Miffre, 2018. "The skewness of commodity futures returns," Post-Print hal-01678744, HAL.
- Li, Bo & Liu, Zhenya & Teka, Hanen & Wang, Shixuan, 2023. "The evolvement of momentum effects in China: Evidence from functional data analysis," Research in International Business and Finance, Elsevier, vol. 64(C).
- Bahloul, Walid & Bouri, Abdelfettah, 2016. "Profitability of return and sentiment-based investment strategies in US futures markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 254-270.
- Christof Schmidhuber, 2021. "Financial Markets and the Phase Transition between Water and Steam," Papers 2107.03857, arXiv.org, revised Dec 2021.
- Yeguang Chi & Wenyan Hao & Jiangdong Hu & Zhenkai Ran, 2023. "An empirical investigation on risk factors in cryptocurrency futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1161-1180, August.
- Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen, 2016.
"The trend is our friend: Risk parity, momentum and trend following in global asset allocation,"
Journal of Behavioral and Experimental Finance, Elsevier, vol. 9(C), pages 63-80.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012. "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," Discussion Papers 12/25, Department of Economics, University of York.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2013. "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," CAMA Working Papers 2013-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Benoît Guilleminot & Jean-Jacques Ohana & Steve Ohana, 2014. "The interaction of speculators and index investors in agricultural derivatives markets," Agricultural Economics, International Association of Agricultural Economists, vol. 45(6), pages 767-792, November.
- Basu, Devraj & Miffre, Joëlle, 2013. "Capturing the risk premium of commodity futures: The role of hedging pressure," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2652-2664.
- Lubnau, Thorben & Todorova, Neda, 2015. "Trading on mean-reversion in energy futures markets," Energy Economics, Elsevier, vol. 51(C), pages 312-319.
- Zhang, Wei & Wang, Pengfei & Li, Yi, 2020. "Intraday momentum in Chinese commodity futures markets," Research in International Business and Finance, Elsevier, vol. 54(C).
- Yin, Libo & Yang, Qingyuan, 2016. "Predicting the oil prices: Do technical indicators help?," Energy Economics, Elsevier, vol. 56(C), pages 338-350.
- Christof Schmidhuber, 2020. "Trends, Reversion, and Critical Phenomena in Financial Markets," Papers 2006.07847, arXiv.org, revised Dec 2020.
- Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
- Qi Xu & Ying Wang, 2021. "Managing volatility in commodity momentum," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 758-782, May.
- Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Bianchi, Robert J. & Fan, John Hua & Zhang, Tingxi, 2021. "Investable commodity premia in China," Journal of Banking & Finance, Elsevier, vol. 127(C).
- Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin & Wichmann, Robert, 2023. "Convenience yield risk," Energy Economics, Elsevier, vol. 120(C).
- John Hua Fan & Sebastian Binnewies & Sanuri De Silva, 2023. "Wisdom of crowds and commodity pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1040-1068, August.
- Fuertes, Ana-Maria & Miffre, Joëlle & Rallis, Georgios, 2010. "Tactical allocation in commodity futures markets: Combining momentum and term structure signals," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2530-2548, October.
- Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
- Guglielmo Maria Caporale & Alex Plastun, 2021.
"Gold and oil prices: abnormal returns, momentum and contrarian effects,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 353-368, September.
- Guglielmo Maria Caporale & Alex Plastun, 2020. "Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects," CESifo Working Paper Series 8445, CESifo.
- Guanqing Liu, 2019. "Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 669-704, August.
- Nomikos, Nikos K. & Doctor, Kaizad, 2013. "Economic significance of market timing rules in the Forward Freight Agreement markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 77-93.
- Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012.
"Futures basis, inventory and commodity price volatility: An empirical analysis,"
Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
- Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper 39903, University Library of Munich, Germany.
- Tzouvanas, Panagiotis & Kizys, Renatas & Tsend-Ayush, Bayasgalan, 2020. "Momentum trading in cryptocurrencies: Short-term returns and diversification benefits," Economics Letters, Elsevier, vol. 191(C).
- Jangkoo Kang & Kyung Yoon Kwon, 2020. "Can commodity futures risk factors predict economic growth?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1825-1860, December.
- Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
- Ana-Maria Fuertes & Joëlle Miffre & Wooi-Hou Tan, 2009. "Momentum profits, nonnormality risks and the business cycle," Applied Financial Economics, Taylor & Francis Journals, vol. 19(12), pages 935-953.
- Ana‐Maria Fuertes & Zhenya Liu & Weiqing Tang, 2022. "Risk‐neutral skewness and commodity futures pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 751-785, April.
- Yufeng Han & Lingfei Kong, 2022. "A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 803-822, May.
- Sun Young Kim & Kyung Yoon Kwon, 2021. "Does economic uncertainty matter in international commodity futures markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 849-869, January.
- Robert Hudson & Andrew Urquhart, 2021. "Technical trading and cryptocurrencies," Annals of Operations Research, Springer, vol. 297(1), pages 191-220, February.
- Lyócsa, Štefan & Molnár, Peter, 2018. "Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds," Energy, Elsevier, vol. 155(C), pages 462-473.
- Pu, Yingjian & Yang, Baochen, 2022. "The commodity futures' historical basis in trading strategy and portfolio investment," Energy Economics, Elsevier, vol. 105(C).
- Górska, Anna & Krawiec, Monika, 2017. "Statistical Analysis of Soft Commodities Returns in the Period 2007-2016," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 17(32, Part ), December.
- Jesse Blocher & Ricky Cooper & Marat Molyboga, 2018. "Benchmarking commodity investments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 340-358, March.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, January.
- Jangkoo Kang & Kyung Yoon Kwon, 2019. "How about selling commodity futures losers?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1489-1514, December.
- Sigl-Grüb, C. & Schiereck, D., 2010. "Speculation and Nonlinear Price Dynamics in Commodity Futures Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 56603, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Li, Xiafei & Miffre, Joëlle & Brooks, Chris & O'Sullivan, Niall, 2008.
"Momentum profits and time-varying unsystematic risk,"
Journal of Banking & Finance, Elsevier, vol. 32(4), pages 541-558, April.
- Xiafei Li & Chris Brooks & Joelle Miffre, 2006. "Momentum Profits and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance icma-dp2006-09, Henley Business School, University of Reading, revised Sep 2006.
- Shi, Huai-Long & Zhou, Wei-Xing, 2017.
"Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 397-407.
- H. -L. Shi & W. -X. Zhou, 2017. "Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets," Papers 1707.05552, arXiv.org.
- Baur, Dirk G. & Dichtl, Hubert & Drobetz, Wolfgang & Wendt, Viktoria-Sophie, 2020. "Investing in gold – Market timing or buy-and-hold?," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Emiliano Magrini & Ayca Donmez, 2013. "Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach," JRC Research Reports JRC84138, Joint Research Centre.
- Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021. "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Jun Yuan & Qi Xu & Ying Wang, 2023. "Probability weighting in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 516-548, April.
- Adnen Ben Nasr & Matteo Bonato & Riza Demirer & Rangan Gupta, 2019.
"Investor Sentiment and Crash Risk in Safe Havens,"
Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 97-108.
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