1. Inicio keyboard_arrow_right
  2. Investigaciones


Artículo en revista académica

Maximal Gaussian Affine Models for Multiple Commodities: A Note

Autor: Jaime Casassus Peng Liu Ke Tang

Profesor Relacionado: Jaime Cassasus

Abstract: This paper 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. In the maximal model, the convenience yield of a certain commodity could depend on the prices of other commodities, which is consistent with the structural model in our companion paper Casassus, Liu, and Tang (2013). This cross-commodity relationship is a feedback effect that may generate substantial comovement among long-run commodity prices, a fact that is consistent with many empirical studies.

Fuente: Journal of Future Markets

Comparte esta publicación