Search results
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Title
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Is idiosyncratic asymmetry priced in commodity futures?
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Author
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Han, Yufeng, Zhu, Yifeng, Su, Zhi, Mo, Xuan
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Date Created
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2023
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Subjects--Topical
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Commodities futures, Probabilities
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Description
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In this article, we use a recently introduced asymmetry measure, IE, to measure the idiosyncratic asymmetry of commodity futures returns and find that idiosyncratic asymmetry negatively and significantly predicts commodity futures returns cross se...
