Hedging vs. speculative pressures on commodity futures returns
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- repec:eee:finana:v:54:y:2017:i:c:p:176-191 is not listed on IDEAS
- Cifarelli, Giulio & Paesani, Paolo, 2017.
"On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016,"
84009, University Library of Munich, Germany.
- Giulio Cifarelli & Paolo Paesani, 2017. "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," Working Papers - Economics wp2017_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
More about this item
KeywordsCommodity spot and futures markets; dynamic hedging; speculation; non linear GARCH; Markov regime switching;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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