#2966. Commodity index risk premium

October 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3000 $

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Journal’s subject area:
Finance;
Economics and Econometrics;
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Abstract:
In this article, we analyzed the commodity index risk premium using analyst forecasts and futures prices for each of the commodities included in the index. The results show that the model includes time-varying risk premiums, which allows us to explore macro variables that can explain their change over time for each product group.
Keywords:
Commodity portfolios; Expected prices; Futures; GSCI index; Risk premiums

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