Research and publications
Conditional Risk Premia and Correlations in Commodity Futures Markets
In this paper, the authors study the conditional risk premia of commodity futures and the way their returns vary over time with those of traditional asset classes (S&P500 stocks and US T-bonds). They draw the following two conclusions. First, that historically investors earned significant risk premia on 19 of the 21 commodity futures markets studied. Second, that the conditional correlations between equity and commodity futures returns fell over time.
Author(s):
James Chong, Joëlle Miffre
Summary:
In this paper, the authors study the conditional risk premia of commodity futures and the way their returns vary over time with those of traditional asset classes (S&P500 stocks and US T-bonds). They draw the following two conclusions. First, that historically investors earned significant risk premia on 19 of the 21 commodity futures markets studied. Second, that the conditional correlations between equity and commodity futures returns fell over time.
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Register/Log in| Type : | Working paper |
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| Date : | 30/03/2007 |
| Keywords : |
Alternative Investments |
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