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The predictive power of convenience yields.
A convenience yield or benefit associated with holding a physical commodity reflects the market's expectations about its future availability. This article explores the in- and out-of-sample predictive power of convenience ...
Stochastic convenience yield implied from commodity futures and interest rates
(BLACKWELL PUBLISHING, 2005)
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 ...
Essays on low interest rates
(2020-12-04)
Por que as taxas de juros estão tão baixas nas economias avançadas? E nas economias emergentes? Esta dissertação investiga o declínio das taxas de juros reais nas últimas décadas, focando em duas hipóteses para explicar ...
Stochastic convenience yield implied from commodity futures and interest rates
(AMERICAN FINANCE ASSOCIATION, 2005)
The theory of storage and the volatility in commadity markets
(2009-08-14)
This paper extends the methodology of Fama and French (1988) to test the hypothesis described in the theory of storage that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases. As ...
An N-factor Gaussian model of oil futures prices
(JOHN WILEY & SONS INC, 2006)
This article studies the ability of an N-factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches ...
Stochastic convenience yield implied from commodity futures and interest ratesJOURNAL OF FINANCE (NEW YORK, PRINT)J FINANCE (N.Y.PRINT)
(AMERICAN FINANCE ASSOCIATION, 2017)