Commodity Futures Characteristics and Asset Pricing Models
The article shows that a latent-factor model using the Instrumented Principal Component Analysis methodology surpasses existing models in explaining variations in commodity futures returns, with momentum, expected shortfall, and idiosyncratic volatility as key factors.
Featured in No. 39 on 6 Mar 2024 · 3 days after release · 1 citation today
- Released
- 3 Mar 2024
- First featured
- No. 39 · 6 Mar 2024
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4746258
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).