Risk Premia in the Commodity Market
Machine learning methodologies reveal that momentum factors from equity, bonds, and currencies are priced into commodity returns, indicating a connection between commodity and other financial markets.
Featured in No. 45 on 17 Apr 2024 · 1 day after release · 0 citations today
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- 16 Apr 2024
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- No. 45 · 17 Apr 2024
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- SSRN 4796343
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