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Artículo en revista académica

calendar_month Publicación: 13/11/2023

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

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