- The Predictive Content of Commodity Futures🔍
- Figure 1.SF.11. Predictive Content of Commodity Futures Prices🔍
- The predictive performance of commodity futures risk factors🔍
- Evaluating the Forecasting Performance of Commodity Futures Prices🔍
- The Predictive Power of Commodity Futures Prices on South ...🔍
- The Information Content of Commodity Futures Markets🔍
- Forecasting Commodity Prices🔍
- SPECIAL FOCUS🔍
The Predictive Content of Commodity Futures
The Predictive Content of Commodity Futures
Abstract: This paper examines the predictive content of futures prices for energy, agricultural, precious and base metal commodities.
The Predictive Content of Commodity Futures | NBER
The Predictive Content of Commodity Futures ... This paper examines the relationship between spot and futures prices for a broad range of ...
The Predictive Content of Commodity Futures
While energy futures prices are generally unbiased predictors of future spot prices, there is much stronger evidence against the null for other commodity ...
The Predictive Content of Commodity Futures - IDEAS/RePEc
Abstract. This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and ...
The Predictive Content of Commodity Futures - Wiley Online Library
This study examines the predictive content of futures prices for energy, agricultural, precious and base metal commodities.
The Predictive Content of Commodity Futures
This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base ...
The Predictive Content of Commodity Futures - EconPapers - RePEc
By Menzie Chinn and Olivier Coibion; Abstract: This study examines the predictive content of futures prices for energy, agricultural, ...
The Predictive Content of Commodity Futures | Request PDF
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Figure 1.SF.11. Predictive Content of Commodity. Futures Prices. (Average deviation from unbiasedness of futures prices). Base metals. Precious metals. Energy.
The predictive performance of commodity futures risk factors
The first factor is a commodity market factor, which corresponds to the equally weighted average excess return on a long position in all futures contracts ( ...
Evaluating the Forecasting Performance of Commodity Futures Prices
Wright 2004, “The Infor- mation Content of Forward and Futures Prices: Market Expectations and the Price of Risk,” International Finance Discussion Paper No.
The Predictive Power of Commodity Futures Prices on South ...
This means that a small amount of companies can account for a large portion of the market capitalization of national stock markets. Studies have found that part.
The Information Content of Commodity Futures Markets
We study the information content of commodity futures returns with respect to stock market returns around the world, using an extensive dataset ...
Forecasting Commodity Prices: Futures Versus Judgment
where S is the (natural logarithm of the) actual spot price and X is a dummy variable that takes the value of zero if the forecast anticipates a price decline ...
SPECIAL FOCUS - Forecasting Industrial Commodity Prices
However, the predictive content of futures prices appears to have ... “The Predictive. Content of Commodity Futures.” Journal of Futures. Markets 34 ...
Forecasting Commodity Prices: Looking for a Benchmark - MDPI
Depending on the value of the convenience yield, the market might be in one of two regimes: contango, when future prices are higher than the spot price, and ...
Using Futures Market Information To Predict Spot Market - Consensus
These studies suggest that futures market information can improve spot market price forecasting ... Content of Commodity Futures. Futures prices are generally not ...
The Predictive Content of Commodity Futures: Latest Estimates
This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base ...
The predictive power of value-at-risk models in commodity futures ...
Commodity futures returns are driven by continuous supply and demand shocks that lead to a distinct pattern of time-varying volatility. As a ...
Evaluating the Forecasting Performance of Commodity Futures Prices
In this paper, we attempt to shed light on these concerns by discussing the theoretical relationship between spot and futures prices for ...