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Relative scarcity
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convenience yield
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correlation term structure
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feedback effect
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futures returns
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long-term economic relation-ships
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Casassus, Jaime
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Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns
Casassus, Jaime
;
Liu, Peng
;
Tang, Ke
-
Instituto de Economía, Facultad de Ciencia Económicas …
-
2011
a flexible
correlation
term
structure
of futures returns that matches the upward-sloping patterns observed in the data …
Persistent link: https://www.econbiz.de/10009371676
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