An Anatomy of Commodity Futures Risk Premia

Material TypeArticleLanguageEnglish
TitleAn Anatomy of Commodity Futures Risk Premia Author(S)MARTA SZYMANOWSKA (Author)
Abstract  We identify two types of risk premia in commodity futures returns: spot premia related to the risk in the underlying commodity, and term premia related to changes in the basis. ...Paginationp 453–482
SubjectEconomicsDescriptorsEconomics
Journal TitleThe Journal of Finance  
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