For this study of the simple properties of commodity futures as an asset class, an equally
weighted index of monthly returns of commodity futures was constructed for the July 1959 …

Investors face numerous challenges when seeking to estimate the prospective performance
of a longonly investment in commodity futures. For instance, historically, the average …

The article tests for the presence of short-term continuation and long-term reversal in
commodity futures prices. While contrarian strategies do not work, the article identifies 13 …

In this paper, we examine the role of United States Economic Policy Uncertainty (US EPU)
on the connectedness between bitcoin and precious metals using both dynamic spillover …

This study examines the asymmetric volatility connectedness between Bitcoin and major
precious metals markets (gold, silver, palladium, and platinum). We use high-frequency data …

This paper investigates the diversification contribution of several commodities to a portfolio
of traditional assets from the perspective of a euro investor. The approach applied in our …

This paper examines the safe-haven role of copper, iron, gold, silver, and energy stocks for
international equity markets during the COVID-19 pandemic. Specifically, the degree and …

This paper examines the combined role of momentum and term structure signals for the
design of profitable trading strategies in commodity futures markets. With significant …

This paper looks into the role of gold as a safe haven or a hedge against stocks. We extend
the existing literature in two ways. First, we consider crisis periods successively defined by …

We develop several models to examine possible predictors of the return of gold, which
embrace six global factors (business cycle, nominal, interest rate, commodity, exchange rate …