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Time-varying risk premia and forecastable returns in futures markets

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References

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1988A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty581 cited
1992Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets538 cited
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1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited

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1996Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets156 cited
2006On the Comovement of Commodity Prices154 cited
2013Are there common factors in individual commodity futures returns?151 cited
1993Macroeconomic Influences and the Variability of the Commodity Futures Basis138 cited
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2004A selected review of agricultural commodity futures and options markets128 cited
2008Limits to Arbitrage and Hedging: Evidence from Commodity Markets127 cited
2009What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?121 cited
2017Assessing contagion risk from energy and non-energy commodity markets121 cited