The Nature of Commodity Index Returns

By R. Greer. 2000

154 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/652889253d25f56c03d65743020b1e0e98edd41e

Citations in the corpus

• Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, unknown): “Greer, 2000; Gorton and Rouwenhorst, 2006; Erb and Harvey, 2006), these investors began investing large amounts of money in commodities.”
• An Anatomy of Commodity Futures Risk Premia (2014, unknown): “Third, commodity returns are positively correlated with inflation (Greer (2000), Erb and Harvey (2006) and Gorton and Rouwenhorst (2006)) and commodity’s unexpected inflation betas are highly correlated with roll returns (Erb and Harvey (2006)).”