Is news related to GDP growth a risk factor for commodity futures returns?

DOI10.1080/14697688.2016.1211797zbMath1400.91615OpenAlexW2518807280MaRDI QIDQ4554255

Daniel Tsvetanov, Neil Kellard, Jerry Coakley

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/17025/1/GDP_News.pdf

zbMATH Keywords

asset pricingcommodity futuresGross domestic productpercentage net basis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Identifying the influential factors of commodity futures prices through a new text mining approach

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Intertemporal Capital Asset Pricing Model
• Common risk factors in the returns on stocks and bonds

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