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Performance Persistence and the Implied Volatility Smile of the Commodity Options Contracts. We Examine Hedge Funds Contracts of Wheat, Corn, Live Cattle, Soybean Oil, and Lean Hog

Guirguis, Michel - 2023

In this article, we examine performance persistence and the implied volatility smile of the commodity options contracts. We examine contracts of wheat, corn, live cattle, soybean oil, and lean hog. Hedge funds use options and futures in terms of commodities to hedge market risk. We compare the...

Persistent link: https://www.econbiz.de/10014355868

Testing the Effects of the Volatility of a Gaussian Distribution Monthly Returns of Commodity Futures Contracts of a Hedge Fund Portfolio

Guirguis, Michel - 2021

contracts of a hedge fund portfolio. We test a linear Gaussian state space model and the Kalman filter ARMA(2,4) model of the …

Persistent link: https://www.econbiz.de/10013232486

The challenges of oil investing : contango and the financialization of commodities

Chincarini, Ludwig Boris; Moneta, Fabio - In: Energy economics 102 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013162184

Congestion in commodity trading advisors

Gregoriou, Greg N.; Pascalau, Razvan; Chen, Yao - In: INFOR : information systems and operational research 49 (2011) 1, pp. 63-74

Persistent link: https://www.econbiz.de/10009385020

Testing the Masters Hypothesis in commodity futures markets

Irwin, Scott H.; Sanders, Dwight R. - In: Energy economics 34 (2012) 1, pp. 256-269

Persistent link: https://www.econbiz.de/10009618857

Commodity markets and commodity mutual funds

Plantier, L. Christopher - In: Business economics : the journal of the National … 48 (2013) 4, pp. 231-245

Persistent link: https://www.econbiz.de/10010350601

Index funds, financialization, and commodity futures markets

Irwin, Scott H.; Sanders, Dwight R. - In: Applied economic perspectives and policy 33 (2011) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10009158557

Commodity trading advisor indexes and alpha generation relationships

Mackey, Scott - In: The journal of applied business research 30 (2014) 6, pp. 1831-1845

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Cross-market investor sentiment in commodity exchange-traded funds

Chen, Hsiu-lang - In: Credit and capital markets : Kredit und Kapital 48 (2015) 2, pp. 171-206

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Bubbles, froth and facts : another look at the masters hypothesis in commodity futures markets

Sanders, Dwight R.; Irwin, Scott H. - In: Journal of agricultural economics 68 (2017) 2, pp. 345-365

Persistent link: https://www.econbiz.de/10011760621