Working paper

Author(s) : Hilary Till
This paper will discuss inferring crude-oil-market fundamentals through price-relationship data, largely through the perspective of a commodity...
2018
Author(s) : Joseph Eagleeye
This paper will discuss inferring crude-oil-market fundamentals through price-relationship data, largely through the perspective of a commodity...
2018
Author(s) : Athanasios Sakkas
A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly,...
2018
Author(s) : Nikolaos Tessaromatis
A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly,...
2018
Author(s) : Marie Lambert
This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.
2017
Author(s) : Federico Platania
This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.
2017
Author(s) : Kenneth Froot
We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain...
2017
Author(s) : Namhco Kang
We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain...
2017
Author(s) : Gideon Ozik
We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain...
2017
Author(s) : Ronnie Sadka
We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain...
2017
Author(s) : Hilary Till
The author presented an abbreviated version of this paper during presentations at the Commodity and Energy Markets Conference at Oxford University on...
2017
Author(s) : Hilary Till
Is roll yield still a useful concept in evaluating crude oil futures markets? This is a timely question because of (a) scepticism on the benefits of...
2017
Author(s) : Joëlle Miffre
This article reviews recent academic studies that analyse the performance of long-short strategies in commodity futures markets. Special attention is...
2017
Author(s) : Adrian Fernández-Pérez
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...
2017
Author(s) : Bart Frijns
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...
2017
Author(s) : Ana-Maria Fuertes
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...
2017
Author(s) : Joëlle Miffre
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...
2017
Author(s) : Carlos Heitor Campani
This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modelling of the asset's volatility,...
2016
Author(s) : Carlos Eduardo Fucci
This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modelling of the asset's volatility,...
2016
Author(s) : Hilary Till
This paper provides an introduction to U.S. commodity futures markets, which is especially relevant for individuals in developing markets who are...
2016

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