Common risk factors in commodities
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References listed on IDEAS
- Yannick Le Pen & Benoît Sévi, 2013.
"Futures trading and the excess comovement of commodity prices,"
2013-19, Department of Research, Ipag Business School.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," Working Papers halshs-00793724, HAL.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," AMSE Working Papers 1301, Aix-Marseille School of Economics, Marseille, France, revised Jan 2013.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Post-Print hal-01613916, HAL.
- Yannick Le Pen & Benoît Sévi, 2018. "Futures Trading and the Excess Co-movement of Commodity Prices," Post-Print hal-01731459, HAL.
- repec:dau:papers:123456789/11382 is not listed on IDEAS
More about this item
KeywordsCommon Risk Factor; Commodities; Factor Model; Principle Component Analysis;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G0 - Financial Economics - - General
StatisticsAccess and download statistics
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