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Citations for "What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?"

by Harrison Hong & Motohiro Yogo

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  1. repec:ipg:wpaper:19 is not listed on IDEAS
  2. Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," Working Papers, HAL halshs-00793724, HAL.
  3. Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, Elsevier, vol. 111(3), pages 527-553.
  4. Ming-Hsien Chen & Vivian Tai, 2014. "The price discovery of day trading activities in futures market," Review of Derivatives Research, Springer, Springer, vol. 17(2), pages 217-239, July.
  5. Girardi, Daniele, 2013. "Financialization of food - The determinants of the time-varying relation between agricultural prices and stock market dynamics," MPRA Paper 52043, University Library of Munich, Germany, revised 16 Nov 2013.
  6. Issler, João Victor & Rodrigues, Claudia & Burjack, Rafael, 2013. "Using Common Features to Understand the Behavior of Metal-Commodity Prices and Forecast them at Different Horizons," Economics Working Papers (Ensaios Economicos da EPGE) 736, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  7. Ing-Haw Cheng & Wei Xiong, 2013. "The Financialization of Commodity Markets," NBER Working Papers 19642, National Bureau of Economic Research, Inc.
  8. Péter Kondor & Dimitri Vayanos, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," FMG Discussion Papers, Financial Markets Group dp730, Financial Markets Group.
  9. Daskalaki, Charoula & Skiadopoulos, George, 2011. "Should investors include commodities in their portfolios after all? New evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2606-2626, October.
  10. Morana, Claudio, 2013. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(1), pages 206-226.
  11. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers, HAL halshs-01052488, HAL.
  12. Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers, Fondazione Eni Enrico Mattei 2013.62, Fondazione Eni Enrico Mattei.
  13. OHASHI Kazuhiko & OKIMOTO Tatsuyoshi, 2013. "Increasing Trends in the Excess Comovement of Commodity Prices," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI) 13048, Research Institute of Economy, Trade and Industry (RIETI).
  14. repec:dgr:uvatin:2012140 is not listed on IDEAS
  15. Basu, Devraj & Miffre, Joëlle, 2013. "Capturing the risk premium of commodity futures: The role of hedging pressure," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(7), pages 2652-2664.
  16. Gospodinov, Nikolay & Jamali, Ibrahim, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," Working Paper, Federal Reserve Bank of Atlanta 2013-12, Federal Reserve Bank of Atlanta.
  17. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, Elsevier, vol. 42(C), pages 38-70.
  18. Yang, Fan, 2013. "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(1), pages 164-184.
  19. Aaron Smith, 2012. "Comment on "Bubbles, Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files"," NBER Chapters, National Bureau of Economic Research, Inc, in: The Economics of Food Price Volatility National Bureau of Economic Research, Inc.
  20. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with Volatility Surprise," Working Papers, Department of Research, Ipag Business School 2014-469, Department of Research, Ipag Business School.
  21. Aboura, Sofiane & Chevallier, Julien, 2014. "Volatility returns with vengeance: Financial markets vs. commodities," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/13359, Paris Dauphine University.
  22. Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos, 2014. "Dynamic Spillover Effects in Futures Markets," MPRA Paper 53876, University Library of Munich, Germany.
  23. Annastiina Silvennoinen & Susan Thorp, 2010. "Financialization, Crisis and Commodity Correlation Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 267, Quantitative Finance Research Centre, University of Technology, Sydney.