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Article

Cross-Hedging of Inflation Derivatives on Commodities

Nicolas Fulli-Lemaire and Ernesto Palidda
The Journal of Alternative Investments Winter 2016, 18 (3) 57-73; DOI: https://doi.org/10.3905/jai.2016.18.3.057
Nicolas Fulli-Lemaire
Nicolas Fulli-Lemaire is a research analyst at Amundi Asset Management and at the University of Paris II in Paris, France.
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  • For correspondence: nicolas.fulli-lemaire@hotmail.com
Ernesto Palidda
Ernesto Palidda is a VP at an Investment Bank in London.
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  • For correspondence: ernesto.palidda@gmail.com
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The Journal of Alternative Investments: 18 (3)
The Journal of Alternative Investments
Vol. 18, Issue 3
Winter 2016
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Cross-Hedging of Inflation Derivatives on Commodities
Nicolas Fulli-Lemaire, Ernesto Palidda
The Journal of Alternative Investments Dec 2015, 18 (3) 57-73; DOI: 10.3905/jai.2016.18.3.057

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Cross-Hedging of Inflation Derivatives on Commodities
Nicolas Fulli-Lemaire, Ernesto Palidda
The Journal of Alternative Investments Dec 2015, 18 (3) 57-73; DOI: 10.3905/jai.2016.18.3.057
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  • Article
    • MODEL CONSTRUCTION
    • A FACTORIAL MODEL FOR INFLATION
    • EMPIRICAL ESTIMATION OF THE MODEL
    • FILTERING THE OIL FUTURES SIGNAL
    • LINKING COMMODITIES FUTURES AND INFLATION FORWARDS
    • CONCLUSIONS
    • References
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  • PDF (Subscribers Only)

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  • Editor’s Letter
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  • Practical Applications of Cryptocurrencies as an Asset Class? An Empirical Assessment
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