SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Time-varying diversification benefits of commodity futures · Study

ArticleShelves

ArticleTime-varying diversification benefits of commodity futures

Sercan Demiralay2018

Article2018

Time-varying diversification benefits of commodity futures

Sercan Demiralay · Selçuk Bayracı · Hatice Gaye Gencer

19 citations·0/0 files stored·Empirical Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 19 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1987Expected stock returns and volatility 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2006Facts and Fantasies about Commodity Futures 2012Index Investment and the Financialization of Commodities 1994Predictable Risk and Returns in Emerging Markets

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2019They're back! Post-financialization diversification benefits of commoditiesarticle · 16 shared references 2013Advances in the Commodity Futures Literature: A Reviewarticle · 16 shared references 2017Diversification benefits of commodities: A stochastic dominance efficiency approacharticle · 13 shared references 2017Portfolio investment: Are commodities useful?article · 13 shared references 2018An update on speculation and financialization in commodity marketsarticle · 12 shared references 2015Dynamic convergence of commodity futures: Not all types of commodities are alikearticle · 12 shared references

Details

Year2018

Typearticle

Published2018-05-21

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations19

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1007/s00181-018-1450-7

openalex_workW2803146917

Links

Imported from OpenAlex (CC0) — nothing here is generated.