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Time series momentum and reversal : intraday information from realized semivariance

Liu, Zhenya; Lu, Shanglin; Li, Bo; Wang, Shixuan - In: Journal of empirical finance 72 (2023), pp. 54-77

Persistent link: https://www.econbiz.de/10014476799

Speculators and time series momentum in commodity futures markets

Uhl, Björn - In: Review of financial economics : RFE 43 (2025) 2, pp. 213-230

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Commodity futures investments : a review of strategic motivations and tactical opportunities

Woodard, Joshua D. - In: The handbook of commodity investing, (pp. 56-86). 2008

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Risk-averse and risk-seeking investor preferences for oil spot and futurues

Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013

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Do commodities add value in multi-asset portfolios? : an out-of-sample analysis for different investment strategies

Bessler, Wolfgang; Wolff, Dominik - In: Journal of banking & finance 60 (2015), pp. 1-20

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Diversification benefits of commodities : a stochastic dominance efficiency approach

Daskalaki, Charoula; Skiadopoulos, George; Topaloglou, … - 2016

We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the...

Persistent link: https://www.econbiz.de/10011473894