Commodities
- Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint DetectionKieran Wood, Stephen Roberts and Stefan ZohrenThe Journal of Financial Data Science December 2021, jfds.2021.1.081; DOI: https://doi.org/10.3905/jfds.2021.1.081
- Negative WTI Price: What Really Happened and What Can We Learn?Lingjie MaThe Journal of Derivatives December 2021, jod.2021.1.141; DOI: https://doi.org/10.3905/jod.2021.1.141
- The Cross Section of Commodity Returns: A Nonparametric ApproachClemens Struck and Enoch ChengThe Journal of Financial Data Science July 2020, 2 (3) 86-103; DOI: https://doi.org/10.3905/jfds.2020.1.034
- Parameterized Calendar Correlations: Decoding Oil and BeyondRoza Galeeva and Thomas HaversangThe Journal of Derivatives February 2020, 27 (3) 7-25; DOI: https://doi.org/10.3905/jod.2019.1.093
- Can Commodity Price Uncertainty Indexes Be Improved by Capturing Media Information? The Case of Oil Price UncertaintyYosef Bonaparte, Frank J. Fabozzi and David KoslowskyThe Journal of Alternative Investments January 2020, 22 (4) 41-58; DOI: https://doi.org/10.3905/jai.2020.1.094
- Real Interest Rate Shocks and Portfolio StrategyEugene Podkaminer, Wylie Tollette and Laurence SiegelThe Journal of Investing September 2020, 29 (6) 23-41; DOI: https://doi.org/10.3905/joi.2020.1.148
- Trend-Following versus Cross-Sectional Momentum: A Data-Driven Statistical Factor ComparisonDaniele LamponiThe Journal of Investing September 2020, 29 (6) 61-74; DOI: https://doi.org/10.3905/joi.2020.1.146
- Editor’s LetterBrian BruceThe Journal of Investing September 2020, 29 (6) 1-2; DOI: https://doi.org/10.3905/joi.29.6.001
- Volatility Spillover Effects: VIX and Precious MetalsMukesh K. Chaudhry and Vivek BhargavaThe Journal of Wealth Management October 2020, 23 (3) 99-111; DOI: https://doi.org/10.3905/jwm.2020.1.115
- Value Investing for CommoditiesThijs Markwat, Jelmer Quist and Casper ZomerdijkThe Journal of Alternative Investments September 2020, 23 (2) 127-140; DOI: https://doi.org/10.3905/jai.2020.1.107
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