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Factor model index for commodity investment

Broby, Daniel; McKenzie, Andrew M.; Bautheac, Olivier - In: The journal of index investing : ETFs, ETPs, & indexing 12 (2021) 3, pp. 33-52

Persistent link: https://www.econbiz.de/10012698298

The role of commodity prices in forecasting U.S. core inflation

Gospodinov, Nikolaj - 2016

This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month-ahead inflation forecasts of the benchmark AR(1)...

Persistent link: https://www.econbiz.de/10011428084

Commodity indicators

OECD - 20XX

This dataset is a complement to the publication Agricultural Policy Monitoring and Evaluation. It shows estimates of agricultural support for OECD countries as well as some non-member economies. These summary tables which are designed specifically to monitor, and evaluate the level and...

Persistent link: https://www.econbiz.de/10013526048

Index investment and the financialization of commodities

Tang, Ke; Xiong, Wei - In: Financial analysts' journal : FAJ 68 (2012) 6, pp. 54-74

Persistent link: https://www.econbiz.de/10009680556

Pricing commodity index options

Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308

Persistent link: https://www.econbiz.de/10014232638

Does index speculation impact commodity prices? : an intraday analysis

Tse, Yiuman; Williams, Michael - In: The financial review : the official publication of the … 48 (2013) 3, pp. 365-383

Persistent link: https://www.econbiz.de/10009782136

A study of first generation commodity indices : indices based on financial diversification

Ahn, Jung-Hyun; Six, Pierre - In: Finance research letters 30 (2019), pp. 194-200

Persistent link: https://www.econbiz.de/10012420486

Comovement, Index Investing and the Financialization of Commodities

Bonato, Matteo - 2018

2017 for 25 US-traded commodities, we find a statistically significant increase in comovement among non-energy index …-commodities. This increase is only temporary. In contrast, no change in comovement is observed for off-index commodities over the entire … the results. Such comovement ‘index effect' is in line with the predictions of theoretical models of the financialization …

Persistent link: https://www.econbiz.de/10012937435

Fear in commodity return prediction

Cao, Zhen; Han, Liyan; Wei, Xinbei; Zhang, Qunzi - In: Finance research letters 46 (2022) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10013342809

A Rule-Based Commodity Index

Mulvey, John M. - 2014

A commodity index is designed as an equal-weighted set of four complementary tactics. The resulting portfolio takes …. Index performance is compared with long commodity indexes and commodity hedge funds. The benefits of an overlay strategy is …

Persistent link: https://www.econbiz.de/10013045636