Ana-Maria Fuertes, Joëlle Miffre, Adrian Fernandez-Perez: This article demonstrates that momentum, term structure and idiosyncratic volatility signals in commodity futures markets are not overlapping, which motivates the design of a new triplescreen strategy.
Professor of Financial Econometrics, Cass Business School
Professor of Finance, EDHEC Business School
Research Fellow, Universidad de Las Palmas de Gran Canaria
|Type :||Working paper|
|Date :||le 11/02/2013|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ firstname.lastname@example.org ]|
|Research Cluster :||Finance|