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Stochastic convenience yield implied from commodity futures and interest rates
We characterize a three-factor model of commodity spot prices, convenience yield, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest rates. It also allows for time-varying risk premia. Both may induce mean reversion in spot prices, albeit with very defferent economic implications. Empirical results show strong evidence for spot-price level dependence in convenience yields for crude oil and copper, which implies mean reversion in prices under the risk-neutral measure..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : The American Finance Association |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 00221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |