An Anatomy of Commodity Futures Risk Premia

By Marta Szymanowska, Frans A. de Roon, T. Nijman, R. V. D. Goorbergh. 2014

290 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/08eefc7159b3fc819d6c14f10980e347540e4ea5

Citations in the corpus

• The Skewness of Commodity Futures Returns (2018, unknown): “Aside from these now-standard signals, the literature also documents significant spreading returns earned on portfolios sorted on liquidity, change in open interests, inflation beta, dollar beta, value or volatility (Hong and Yogo, 2012; Asness et al. , 2013; Szymanowska et al. , 2014).”