Casassus, Jaime; Liu, Peng; Tang, Ke - In: Review of Financial Studies 26 (2013) 5, pp. 1324-1362
This paper shows that economic linkages among commodities create a source of long-term correlation between futures returns. We extend the theory of storage to a multi-commodity level and find that the convenience yield of a commodity depends on its relative scarcity with respect to other related...