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Financialization and De-Financialization of Commodity Futures : A Quantile Regression Approach

Bianchi, Robert - 2019

This study examines the relationship between commodity futures and global stocks. For the first time, we examine the financialization of commodity futures by employing a quantile regression approach. From 2004-2013, we confirm a strong degree of dependence in energy commodities with moderate...

Persistent link: https://www.econbiz.de/10012897786

Financialization and de-financialization of commodity futures: a quantile regression approach

Bianchi, Robert; Fan, John Hua; Todorova, Neda - In: International review of financial analysis 68 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012300938

The predictive performance of asset pricing models : evidence from the Australian Securities Exchange

Bianchi, Robert; Drew, Michael E.; Whittaker, Timothy - In: Review of Pacific Basin financial markets and policies 19 (2016) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10011644612

Interest rate changes and the cross-section of global equity returns

Zaremba, Adam; Cakici, Nusret; Bianchi, Robert; Long, … - In: Journal of economic dynamics & control 147 (2023), pp. 1-32

Persistent link: https://www.econbiz.de/10014249731

The cross section of expected futures returns and the Keynesian hypothesis

Miffre, Joëlle - In: Applied financial economics 13 (2003) 10, pp. 731-739

Persistent link: https://www.econbiz.de/10001777214

The predictability of futures returns : rational variation in required returns or market inefficiency?

Miffre, Joëlle - In: Applied financial economics 12 (2002) 10, pp. 715-724

Persistent link: https://www.econbiz.de/10001702510

Economic significance of the predictable movements in futures returns

Miffre, Joëlle - In: Economic notes : economic review of Banca Monte dei … 31 (2002) 1, pp. 125-142

Persistent link: https://www.econbiz.de/10001669373

Normal backwardation is normal

Miffre, Joëlle - In: The journal of futures markets 20 (2000) 9, pp. 803-821

Persistent link: https://www.econbiz.de/10001525965

Commodity, strategies based on momentum, term structure, and idiosyncratic volatility

Fuertes, Ana María; Miffre, Joëlle; Fernandez-Perez, … - In: The journal of futures markets 35 (2015) 3, pp. 274-297

Persistent link: https://www.econbiz.de/10011348423

HACking at non-linearity : evidence from stocks and bonds

Bianchi, Robert J. (contributor); Clements, Adam (contributor) - 2009

Persistent link: https://www.econbiz.de/10003799348

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