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Commodity network and predictable returns. (2023). Ye, Yang ; Xu, QI.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1423-1449.

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  1. The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets. (2025). Yfanti, Stavroula ; Wu, Jiaying ; Karanasos, Menelaos.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000066.

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  2. The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns. (2024). Zhang, Yaojie ; Wang, Yudong.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:44:y:2024:i:4:p:557-584.

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  42. Another look at the relationship between cross-market correlation and volatility. (2005). Bartram, Söhnke ; Wang, Yaw-Huei .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:2:p:75-88.

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  43. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices. (2005). Sancetta, Alessio ; Nikanrova, Arina.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0516.

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  44. Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification. (2004). Demirer, Riza ; Lien, Donald.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:6:p:447-456.

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  45. Asset Pricing with Liquidity Risk. (2004). Pedersen, Lasse ; Acharya, Viral.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10814.

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  46. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10327.

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  47. Regime Switching for Dynamic Correlations. (2004). Pelletier, Denis.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:230.

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  48. Are Vector Autoregressions an Accurate Model for Dynamic Asset Allocation?. (2004). Pearanda, Francisco.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0419.

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  49. Market Integration and Contagion. (2003). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9510.

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  50. The Conditional CAPM Does Not Explain Asset-pricing Anomalies. (2003). Nagel, Stefan ; Lewellen, Jonathan.
    In: Working papers.
    RePEc:mit:sloanp:3544.

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