Asymmetric Commodity Tails and Index Futures Returns
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DOI: 10.1002/fut.22564
Abstract: This paper proposes that the tail risk associated with commodity futures returns performs well at predicting the S&P 500 index futures returns in‐ and out‐of‐sample, even after controlling business cycles, economic factors, investor sentiment factors,… read more here.
Keywords: futures returns; index futures; tail risk; tail ... See more keywords
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
The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns
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DOI: 10.1016/j.eneco.2021.105377
Abstract: Abstract This paper is the first to examine the dynamic impact of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. Using a quantile regression approach, we report that temperature anomaly exerts a significant… read more here.
Keywords: temperature anomaly; futures returns; commodity futures; agricultural commodity ... See more keywords