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Algirdas Justinas Staugaitis and Bernardas Vaznonis
Motivated by increased agricultural commodity price volatility and surges during the past decade, we investigated whether financial speculation is to blame. The aim of this paper is to build on prior research about to what extent and in which ways financ...
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Massimo Guidolin and Manuela Pedio
In this paper, we conduct a thorough investigation of the predictive ability of forward and backward stepwise regressions and hidden Markov models for the futures returns of several commodities. The predictive performance relative a standard AR(1) benchm...
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Marek Kwas and Michal Rubaszek
The random walk, no-change forecast is a customary benchmark in the literature on forecasting commodity prices. We challenge this custom by examining whether alternative models are more suited for this purpose. Based on a literature review and the result...
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Ramesh Adhikari, Kyle J. Putnam and Humnath Panta
This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Ca...
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Jaehwan Park
This paper employs Granger causality tests to analyze the role of speculators using weekly COTR (commitment of traders reports) data covering the period of August 2014 to July 2017. The paper presents statistically significant evidence that the position ...
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Saâd Benbachir,Sihame Lembarki
Pág. 103 - 114
The drop in the price of crude oil in 2014 left no one indifferent, and motivated several researchers to analyse the nature of the relationship between the physical and the financial market of this commodity. This article discusses the issue of Spot and ...
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Adam Zaremba
Pág. 18 - 36
The study concentrates on the benefits of passive commodity investments in the context of the phenomenon of financialization. The research investigates the implications of increase in the correlation coefficients between equity and commodity investments ...
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Pablo Moreno-Alemay,Catherine Pereira-Villa
Pág. 325 - 339
This article explores the reasons why futures contracts are not traded as an alternative to price hedging for agricultural goods in Colombia. Based on surveys, interviews and statistical analysis, this study identified that conceptual gaps in contract ne...
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M. J. Page
AbstractThere are two principal theories of commodity futures prices. The theory of storage, which explains the difference between contemporaneous futures and spot prices (the basis) in terms of interest rates, warehousing costs, and convenience yields, ...
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