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Commodity futures return predictability and intertemporal asset pricing

Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020

We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....

Persistent link: https://www.econbiz.de/10012418356

Price Volatility Forecasts for Agricultural Commodities : An Application of Historical Volatility Models, Option Implieds and Composite Approaches for Futures Prices of Corn and Wheat

Benavides, Guillermo - 2008

There has been substantial research effort aimed to forecast futures price return volatilities of financial and commodity assets. Some part of this research focuses on the performance of time-series models (in particular ARCH models) versus option implied volatility models. A significant part of...

Persistent link: https://www.econbiz.de/10014068854

Do Oil Futures Prices Predict Stock Returns?

Chiang, I-Hsuan Ethan - 2017

pattern is prevailing in non-oil industry portfolios, but is absent for oil-related portfolios. The in- and out …

Persistent link: https://www.econbiz.de/10012967736

Forecasting the Price of Crude Oil Via Convenience Yield Predictions

Knetsch, Thomas - 2016

The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...

Persistent link: https://www.econbiz.de/10012991189

Forecast of Bitcoin – Can It Become a Major Currency or Is It Just Another Bubble?

Dinges, Christian - 2018

Bitcoin has been described as a decentralized, partially anonymous, virtual currency, not backed by any government or other legal entity. Bitcoins are highly liquid, have low transaction costs, and are very volatile. This paper will look at the behavior of the value of Bitcoins, forecast the...

Persistent link: https://www.econbiz.de/10014116834

The Trend Is Your Friend : Time-Series Momentum Strategies Across Equity and Commodity Markets

Athina Georgopoulou, Athina - 2016

This paper documents a significant time-series momentum effect that is consistent and robust across all examined … conventional asset classes from 1969 to 2015. We find that the duration and magnitude of time-series momentum is different in … demonstrate that time-series momentum captures a significant proportion of international mutual fund performance, but this is …

Persistent link: https://www.econbiz.de/10013004567

A Method of Forecasting Wholesale Electricity Market Prices

Maisano, Joe - 2016

In this paper we employ a fundamental principle of classical mechanics known as the Least Action Principle to model the complex relationship between expected load and expected price in electricity spot markets. We consider here markets that feature a centralised electricity dispatch system that...

Persistent link: https://www.econbiz.de/10013005517

The Variance Risk Premium around the World

Londono, Juan M. - 2015

I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that, while VPs in other countries are also positive and time varying, they do not have predictive power for domestic stock returns, in contrast to the implications of existing...

Persistent link: https://www.econbiz.de/10013032025

International Stock Return Predictability : The Role of U.S. Volatility Risk

Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and significantly predicts future stock market returns of the...

Persistent link: https://www.econbiz.de/10014236052

The Variance Risk Premium Around the World

Londono, Juan M. - 2012

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several other countries are, on average, positive and display significant time...

Persistent link: https://www.econbiz.de/10013110367