SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Factor Structure in Commodity Futures Return and Volatility
16 references·3 citing·44 second hopsampled
Factor Structure in Commodity Futures Return and Volatility (2018)Factor Structure in Commodity Futures Ret…Fluctuations in Uncertainty (2014)Fluctuations in UncertaintyValue and Momentum Everywhere (2013)Value and Momentum EverywhereFinancialization of Commodity Markets (2013)Financialization of Commodity…Betting against beta (2013)Betting against betaThe Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Real-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesEconometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Volatility term structures in commodity markets (2019)Volatility term structures in…Financialization of agricultural commodities: Evidence from China (2019)Financialization of agricultu…Dynamic term structure models: The best way to enforce the zero lower bound (2014)Dynamic term structure models…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Time to Build and Aggregate Fluctuations (1982)CEO Overconfidence and Corporate Investment (2005)The Impact of Uncertainty Shocks (2009)Policy Uncertainty and Corporate Investment (2015)Measuring Economic Policy Uncertainty* (2016)Really Uncertain Business Cycles (2018)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Time Series Momentum (2011)Does Academic Research Destroy Stock Return Predictability? (2015)Expected Stock Returns and Variance Risk Premia (2009)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Dissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2014Fluctuations in Uncertainty2,098 cited
  • 2013Betting against beta2,027 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2013Financialization of Commodity Markets808 cited
  • 2012The Fundamentals of Commodity Futures Returns

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

760 cited

Cited by

  • 2019Financialization of agricultural commodities: Evidence from China74 cited
  • 2019Volatility term structures in commodity markets27 cited
  • 2014Dynamic term structure models: The best way to enforce the zero lower bound16 cited