This paper develops a parsimonious three-factor model of the term structure of oil futures prices that can be easily estimated from available futures price data. In addition, it proposes a new simple spreadsheet implementation ...

During the 2000's, and from a macro perspective, Brazil benefited greatly because the increasing prices of agricultural commodities in world markets, as well as the price of oil and other primary commodities, which the ...

During the 2000's, and from a macro perspective, Brazil benefited greatlybecause the increasing prices of agricultural commodities in world markets, as well as the price of oil and other primary commodities, which the ...

This article proposes a multicommodity model of futures prices of more than one commodity that allows the use of long-maturity futures prices available for one commodity to estimate futures prices for the other. The model ...

In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic ...

This dissertation is aimed at evaluating the risk-return relationship of stocks by incrementing the Fama and French five-factor model (F. FAMA and R. FRENCH, 2015) with two new variables. This was done by creating a ...

This research analyses the perception that customers have regarding hotel prices at the time of making their final purchase decision. Price perception depends on the analysis of psychological thresholds. When a hotel ...