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Published in 2017 at "Quantitative Finance"
DOI: 10.1080/14697688.2016.1225977
Abstract: This paper investigates the financialization and structural co-movement of several commodity futures using factor variance decomposition and predictability of technical indicators and macro variables. We find that financialization is still a dominant player in the…
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Keywords:
predictability structural;
movement commodity;
technical indicators;
structural movement ... See more keywords