This study examines the spillover effect of the Baltic Dry Index (BDI) on the commodities
futures, currency, and stock markets by using a tri-variate VAR-BEKK-GARCH-X model on a …

We explore whether there are common factors in the cross-section of individual commodity
futures returns. We test various asset pricing models which have been employed for the …

Extant literature investigates volatility spillovers between spot markets of the same asset
class or between derivatives and their underlying spot markets. This paper investigates …

We revisit the question whether commodities should be included in investors' portfolios. We
employ for the first time a stochastic dominance efficiency (SDE) approach to construct …

Do alternative assets such as commodities improve portfolio diversification? The empirical
evidence is generally positive but mixed, and almost exclusively focuses on US data. Using …

A multi-factor commodity portfolio combining the momentum, basis, basis-momentum,
hedging pressure and value commodity factor portfolios outperforms significantly …

In this paper, we assess the accuracy of linear and nonlinear models in predicting daily
crude oil prices. Competing forecasts of crude oil prices are generated from parsimonious …

Correlations between oil and agricultural commodities have varied over previous decades,
impacted by renewable fuels policy and turbulent economic conditions. We estimate smooth …

This paper examines the sensitivity of commodity price changes to monetary policy
uncertainty. We find evidence that the response of commodity price changes hinges on the …

In practice, a wide variety of performance measures is available to evaluate commodity
investments. In this article, we show that the most popular of these metrics, ie, the Sharpe …