Factor momentum in commodity futures markets
Yiyan Qian, Ying Jiang, Xiaoquan Liu
| Year of publication: |
2025
|
|---|---|
| Authors: | Qian, Yiyan ; Jiang, Ying ; Liu, Xiaoquan |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 45.2025, 11, p. 1934-1969
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| Subject: | conditional asset pricing | factor enhancement | mean-variance optimization | mispricing | return autocorrelation | Kapitaleinkommen | Capital income | CAPM | Rohstoffderivat | Commodity derivative | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Autokorrelation | Autocorrelation | Kapitalmarktrendite | Capital market returns | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.70022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464917