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The Pricing of Geopolitical Risk in Cross-Sectional Commodity Returns
Cheng, Daxuan; Liao, Yin; Pan, Zheyao - 2022
In this study, we investigate whether geopolitical risk is a pricing factor in cross-sectional commodity futures returns. By estimating the exposure of commodity futures returns on a geopolitical risk index, we find that commodities with high-risk beta generate 7.92% higher annual returns than...
Persistent link: https://www.econbiz.de/10013308211
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Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
Ma, Feng; Liao, Yin; Zhang, Yaojie; Cao, Yang - In: Journal of empirical finance 52 (2019), pp. 40-55
Persistent link: https://www.econbiz.de/10012170621
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Geopolitical risk uncertainty and oil future volatility : evidence from MIDAS models
Mei, Dexiang; Ma, Feng; Liao, Yin; Wang, Lu - In: Energy economics 86 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012511406
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The geopolitical risk premium in the commodity futures market
Cheng, Daxuan; Liao, Yin; Pan, Zheyao - In: The journal of futures markets 43 (2023) 8, pp. 1069-1090
Persistent link: https://www.econbiz.de/10014339374
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An oil futures volatility forecast perspective on the selection of high-frequency jump tests
Li, Xiafei; Liao, Yin; Lu, Xinjie; Ma, Feng - In: Energy economics 116 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013542124