This paper finds that the long-term co-movement of commodity prices is driven by economic relationships, such as production, substitution, and complementary relationships. Such relationships imply that the convenience yield of a given commodity depends on its relative scarcity with respect to...

This paper extends the maximal affine models of single assets to a multi-commodity setup. We show that the correlated version of maximal affine models for a single commodity is no longer maximal for multiple commodities. In the maximal model, the convenience yield of a certain commodity could...

California's per-capita electricity consumption is 50 percent lower than national per-capita consumption. Mild climate, deindustrialization, ad its demographics explain parts of this differential. California energy efficiency policy is often claimed to be another key factor. A challenge in...

We examine the relationship between a firm’s main business focus and its risk and performance, using the unique settings of U.S. equity real estate investment trusts (REITs). In this paper, a REIT’s prime operating revenue ratio (POR) is measured as the ratio of rental revenue to total...