Handbook of Recent Advances in Commodity and Financial Modeling : Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets

Preface -- Contents -- Part I Risk Modeling -- 1 Directional Returns for Gold and Silver: A Cluster Analysis Approach -- 1.1 Introduction and Literature Review -- 1.2 Data Collection and Preparation -- 1.3 Methodology: Two-Step Cluster Analysis -- 1.4 Gold with Clusters -- 1.4.1 Training Set Variable Importance -- 1.4.2 Validation Set Results for the Gold Models -- 1.5 Silver with Clusters -- 1.5.1 Training Set Variable Importance -- 1.5.2 Validation Set Results for the Silver Models -- 1.6 Summary and Conclusions -- References -- 2 Impact of Credit Risk and Business Cycles on Momentum Returns -- 2.1 Introduction -- 2.2 Literature Review -- 2.2.1 The Persistence of Momentum Returns in Different Dimensions -- 2.2.2 Momentum Returns and Credit Ratings -- 2.2.3 Momentum Returns and Risk Factors -- 2.3 Data -- 2.3.1 Methods -- 2.4 Empirical Findings -- 2.4.1 Can the Fama-French Three Factors Explain Momentum Returns in Credit-Rated Stocks? -- 2.4.2 Can Market States Explain the Momentum Returns in Credit-Rated Stocks? -- 2.4.3 Can Macroeconomic Factors Explain the Momentum Returns in Credit-Rated Stocks? -- 2.5 Conclusions -- Appendix: S&P Credit Rating -- References -- 3 Drivers of LBO Operating Performance: An Empirical Investigation in Asia -- 3.1 Introduction -- 3.2 Literature Review -- 3.2.1 Tax Benefit -- 3.2.2 Free Cash-Flow -- 3.2.3 Ownership Structure -- 3.2.4 Macroeconomic Factors -- 3.3 Institutional Background of Emerging Economies: The Case of Asia -- 3.3.1 Academic Background -- 3.3.2 Institutional Background -- 3.4 Data Sources and Descriptive Statistics -- 3.4.1 Sample Description -- 3.4.2 Benchmark Comparison -- 3.4.3 Descriptive Statistics -- 3.4.4 Analysis and Discussion -- 3.5 Results -- 3.5.1 OLS Model -- 3.5.2 Introduction of LBO Dummy Variable -- 3.5.3 Introduction of Geographical Area Dummy Variables