Behaviour of futures markets and implication for portfolio choice
First, we document the co-existence of the time series momentum and of the term structure factors in the global commodity futures market. We demonstrate that the strategies based on the joint time series momentum and term structure trading signal outperform time series momentum only strategies and t...
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University of Birmingham
2018
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.753024 |