The DOI matches its Crossref record; 44 of the 44 references it cites were found in a registry or an index.
Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
Open accessAbstract
We characterize a three‐factor model of commodity spot prices, convenience yields, 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 different 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. Silver, gold, and copper exhibit time variation in risk premia that implies mean reversion of prices under the physical measure.
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Cites
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Cited by
Financialization of commodity markets
Cheng, I.-H., & Xiong, W. (2014) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-110613-034432 · Cited by 810
A model of financialization of commodities
BASAK, S., & PAVLOVA, A. (2016) · The Journal of Finance · doi:10.1111/jofi.12408 · Cited by 595
Koijen, R. S. J., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2017.11.002 · Cited by 286
Limits to Arbitrage and Commodity Index Investment: Front-Running the Goldman Roll
Mou, Y. (2010) · doi:10.2139/ssrn.1716841 · Cited by 98
No-arbitrage conditions for storable commodities and the modeling of futures term structures
Liu, P. (., & Tang, K. (2010) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2010.03.013 · Cited by 28
Metadata
- Authors
- CASASSUS, J., & COLLIN‐DUFRESNE, P.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2005-09-16
- Volume
- 60
- Issue
- 5
- Pages
- 2283-2331
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2161387316
- Cited by
- 441
- References
- 44
- FWCI
- 28.27
- Type
- journal article
- Language
- en
- Open access
- green
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- CASASSUS, J., & COLLIN‐DUFRESNE, P. (2005). Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2005.00799.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
