The DOI matches its Crossref record; 49 of the 49 references it cites were found in a registry or an index.
No-arbitrage conditions for storable commodities and the modeling of futures term structures
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“The involvement of these actors has exacerbated price volatility in food markets, linking food prices with the fluctuations of other financial assets, particularly during crises, as witnessed in the 2008 global recession”
From Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility (2024) · cites this paper as Liu and Tang 2010
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In the citing paper
“The involvement of these actors has exacerbated price volatility in food markets, linking food prices with the fluctuations of other financial assets, particularly during crises, as witnessed in the 2008 global recession”
From Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility (2024) · cites this paper as Liu and Tang 2010
Experimental — accuracy not yet measuredThe check wasn’t confident either way, so it gives no verdict — never disputed.
In the citing paper
“This interconnexion between the food system and the financial sector increases food price volatility, particularly during economic downturns like the 2008 recession (Cheng and Xiong 2014; Liu and Tang 2010).”
From Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility (2024) · cites this paper as Liu and Tang 2010
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Citations
Cites
Ordinary Differential Equations
Stewart, J. M. (2017) · Cambridge University Press eBooks · doi:10.1017/9781108120241.010 · Cited by 7,299
An equilibrium characterization of the term structure
Vasicek, O. A. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90016-2 · Cited by 6,109
Stochastic Differential Equations
Øksendal, B. (2003) · Universitext · doi:10.1007/978-3-642-14394-6_5 · Cited by 3,081
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Duffie, D., Pan, J. M., & Singleton, K. J. (2000) · Econometrica · doi:10.1111/1468-0262.00164 · Cited by 2,985
A YIELD‐FACTOR MODEL OF INTEREST RATES
Duffie, D., & Kan, R. (1996) · Mathematical Finance · doi:10.1111/j.1467-9965.1996.tb00123.x · Cited by 2,499
Stochastic Differential Equations: Theory and Applications.
Whittle, P., & Arnold, L. (1976) · Journal of the Royal Statistical Society Series A (General) · doi:10.2307/2344856 · Cited by 2,391
The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging
Schwartz, E. S. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02721.x · Cited by 2,076
Specification Analysis of Affine Term Structure Models
Dai, Q., & Singleton, K. J. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00278 · Cited by 1,816
Term Premia and Interest Rate Forecasts in Affine Models
Duffee, G. R. (2002) · The Journal of Finance · doi:10.1111/1540-6261.00426 · Cited by 1,583
On the Behaviour of Commodity Prices
Deaton, A., & Laroque, G. (1992) · The Review of Economic Studies · doi:10.2307/2297923 · Cited by 1,150
Research works printed but not linked: 2
- Lewis, 2007, The universe of commodity indices, Commodity Now, 11, 40
- Working, 1949, The theory of the price of storage, American Economic Review, 39, 1254
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Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility
Venegas, M. D. R., Feregrino, J., Lay, N., & Espinosa-Cristia, J. F. (2024) · International Journal of Financial Studies · doi:10.3390/ijfs12040121 · Cited by 13
Metadata
- Authors
- Liu, P. (., & Tang, K.
- Affiliations
- Cornell University (US)
- Renmin University of China (CN)
- Corresponding author
- Tang, Ke
- Venue
- Journal of Banking & Finance
- Publisher
- Elsevier BV
- Published
- 2010-07
- Volume
- 34
- Issue
- 7
- Pages
- 1675-1687
- ISSN
- 0378-4266 (ISSN-L)
- OpenAlex
- W2026039938
- Cited by
- 28
- References
- 49
- Citations by year
- 2026: 1 · 2025: 1 · 2024: 2 · 2020: 1 · 2019: 2 · 2018: 3 · 2017: 1 · 2016: 2 · 2015: 3 · 2014: 6 · 2013: 1 · 2012: 1
- FWCI
- 2.79
- Type
- journal article
- Language
- en
- Open access
- Locations
- Journal of Banking & Finance (publishedVersion)
- Cornell Peter and Stephanie Nolan School of Hotel Administration (Cornell University) (submittedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- eCommons (Cornell University) (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Stochastic processes and financial applications
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Keywords
- storable commodities, convenience yield, no-arbitrage, commodity futures pricing, reduced-form models
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