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Momentum and Mean-Reversion in Commodity Spot and Futures Markets · Study

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ArticleMomentum and Mean-Reversion in Commodity Spot and Futures Markets

Denis Biangolino Chaves2016

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Articlegreen2016

Momentum and Mean-Reversion in Commodity Spot and Futures Markets

Denis Biangolino Chaves · Vivek Viswanathan

37 citations·0/0 files stored·Journal of commodity markets

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

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References

1973Risk, Return, and Equilibrium: Empirical Tests 1985Does the Stock Market Overreact?1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence 2013Value and Momentum Everywhere 1985Persuasive evidence of market inefficiency 2011Time Series Momentum 1977Foundations of Finance.1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage

Cited by

2018Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests 2019The Long-Run Reversal in the Long Run: Insights from Two Centuries of International Equity Returns 2019Short-term momentum (almost) everywhere 2019The Cross Section of Country Equity Returns: A Review of Empirical Literature 2018Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models 2019Modeling Investor Behavior Using Machine Learning: Mean‐Reversion and Momentum Trading Strategies

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2015Long-Short Commodity Investing: A Review of the Literaturearticle · 14 shared references 2014Exploiting commodity momentum along the futures curvesarticle · 10 shared references 2013Are there common factors in individual commodity futures returns?article · 9 shared references 2017The skewness of commodity futures returnsarticle · 9 shared references 2012Commodity Investingreview · 9 shared references 2012Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysisarticle · 9 shared references

Details

Year2016

Typearticle

Published2016-01-01

VenueJournal of commodity markets

ISSN-L2405-8505

Languageen

Citations37

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jcomm.2016.08.001

openalex_workW3124290871

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