Agricultural commodity futures trading based on cross-country rolling quantile return signals

DOI10.1080/14697688.2019.1571682zbMath1420.91467OpenAlexW2915682644WikidataQ128386165 ScholiaQ128386165MaRDI QIDQ5234364

Neda Todorova, Jen-je Su, Huayun Jiang, Eduardo Roca

Publication date: 26 September 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2019.1571682

zbMATH Keywords

spilloversquantilesprofitabilitytrading strategiesagricultural market

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• quantilogram

Cites Work

• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Bootstrap methods: another look at the jackknife
• Tail-risk protection trading strategies
• Time series momentum trading strategy and autocorrelation amplification

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