The rank effect for commodities
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DOI: 10.24149/wp1607
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Other versions of this item:
- Ricardo T. Fernholz & Christoffer Koch, 2016. "The Rank Effect for Commodities," Papers 1607.07510, arXiv.org.
References listed on IDEAS
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- Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
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More about this item
Keywords
Commodity prices; nonparametric methods; asset pricing anomalies; asset pricing factors; efficient markets;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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