E
Emmanuel Eyiah-Donkor
Researcher at ESC Rennes School of Business
Publications - 7
Citations - 31
Emmanuel Eyiah-Donkor is an academic researcher from ESC Rennes School of Business. The author has contributed to research in topics: Futures contract & Predictability. The author has an hindex of 3, co-authored 6 publications receiving 25 citations. Previous affiliations of Emmanuel Eyiah-Donkor include University College Dublin.
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Predictability and Diversification Benefits of Investing in Commodity and Currency Futures
TL;DR: In this article, the authors re-examine diversification benefits of investing in commodities and currencies by considering a risk-averse investor with mean-variance preferences who exploits the possibility of predictable time variation in asset return means, variances, and covariances.
Journal ArticleDOI
Predictability and diversification benefits of investing in commodity and currency futures
TL;DR: In this article, the authors re-examine diversification benefits of investing in commodities and currencies by considering a risk-averse investor with mean-variance preferences who exploits the possibility of predictable time variation in asset return means, variances, and covariances.
Posted Content
Commodity Futures Return Predictability and Intertemporal Asset Pricing
TL;DR: In this paper, the authors find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors, and find that the combination forecasts of commodity returns have significantly positive predictive power for future economic activity.
Journal ArticleDOI
The illusion of oil return predictability: The choice of data matters!
TL;DR: This article showed that the use of within-month averages of daily oil prices in calculating returns used in predictive regressions introduces a bias in the estimates of the first-order autocorrelation coefficient and variance of returns.
Journal ArticleDOI
Commodity Futures Return Predictability and Intertemporal Asset Pricing
TL;DR: In this article, the authors find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors and find that the combination forecasts of commodity returns have significantly positive predictive power for future economic activity.