Now showing items 1-3 of 3

    • Economic Linkages, Relative Scarcity, and Commodity Futures Returns 

      Casassus, Jaime; Liu, Peng; Tang, Ke (2013-01-01)
      This paper shows that economic linkages among commodities create a source of long-term correlation between futures returns. We extend the Theory of Storage to a multi-commodity level and find that the convenience yield of ...
    • Economic Linkages, Relative Scarcity, and Commodity Futures Returns 

      Casassus, Jaime; Liu, Peng; Tang, Ke (2013-05-01)
      This paper shows that economic linkages among commodities create a source of long-term correlation between futures returns. We extend the theory of storage to a multi-commodity level and find that the convenience yield of ...
    • Maximal Gaussian Affine Models for Multiple Commodities: A Note 

      Casassus, Jaime; Liu, Peng; Tang, Ke (2012-09-01)
      This study extends the maximal affine models of single assets to a multi-commodity setup. We show that the correlated version of maximal affine models for a single commodity is no longer maximal for multiple commodities. ...