@article{41820e4f19cc48dbad4a974057b862d2,
title = "Including Commodity Futures in Asset Allocation in China",
author = "Qingfu Liu and Yiuman Tse and Linlin Zhang",
note = "In this paper, we investigate the role of eight commodity futures in asset allocation in China during the period January 2004-December 2015. The Chinese commodities and stocks are moderately correlated. We use quantile regressions based on a value-at-risk model to examine the relation between these two markets.",
year = "2018",
month = sep,
day = "2",
doi = "10.1080/14697688.2018.1444554",
language = "American English",
volume = "18",
journal = "Quantitative Finance",
}