The predictive performance of commodity futures risk factors

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The predictive performance of commodity futures risk factors

This paper investigates the time-series predictability of commodity futures excess returns from factor models that exploit two risk factors – the equally weighted average excess return on long positions in a universe of futures contracts and the return difference between the high- and low-basis port...

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Bibliographic Details
Main Authors:	Ahmed, Shamim, Tsvetanov, Daniel
Format:	Article
Published:	Elsevier 2016
Subjects:	Commodity markets; Futures pricing; Out-of-sample predictability; Economic value; Time series; Econometric models
Online Access:	https://eprints.nottingham.ac.uk/37591/

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