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Home Ana-Maria Fuertes
Ana-Maria Fuertes
Investors tracking maturity-enhanced commodity indexes face liquidity risk
An analysis of commodity indexes shows there is some economic value from trading distant contracts beyond a fair compensation for taking liquidity risk.
Hedge Funds Review | 01 Jun 2011
Translating overnight and intraday returns to improve daily volatility forecast accuracy
Recent research suggests the information content in overnight and intraday returns, unlike trading volume, improves the statistical accuracy of daily volatility forecasts.
Hedge Funds Review | 04 Jul 2010
Tactical allocation in commodity futures markets
Commodity futures have become widespread investment vehicles among traditional and alternative asset managers. They are now commonly used for strategic and tactical asset allocations.
Hedge Funds Review | 02 Feb 2010
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