Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
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DOI: 10.1007/s10479-020-03515-w
Abstract: The aim of this paper is to assess whether three well-known commodity-specific variables (basis, hedging pressure, and momentum) may improve the predictive power for commodity futures returns of models otherwise based on macroeconomic factors. We… read more here.
Keywords: futures returns; commodity specific; forecasting commodity; commodity futures ... See more keywords