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Stochastic convenience yield implied from commodity futures and interest rates

Casassus, Jaime; Collin-Dufresne, Pierre - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2283-2332

Persistent link: https://www.econbiz.de/10003159354

Stochastic behavior of spot and futures commodity prices : theory and evidence

Casassus, Jaime - 2004

Persistent link: https://www.econbiz.de/10003383662

A model of financialization of commodities

Başak, Suleyman; Pavlova, Anna - 2015

Persistent link: https://www.econbiz.de/10011299571

Price discovery in commodity markets

Peri, Massimo; Baldi, Lucia; Vandone, Daniela - In: Applied economics letters 20 (2013) 4/6, pp. 397-403

Persistent link: https://www.econbiz.de/10009708694

Time-variations in commodity price jumps

Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84

Persistent link: https://www.econbiz.de/10011489343

A Model of Financialization of Commodities

Basak, Suleyman - 2015

A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets, referred to as the financialization of commodities. In this paper, we explore the effects of financialization in a model that...

Persistent link: https://www.econbiz.de/10013036073