<section xml:id="fut21649-sec-0001"> This study 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...</section>

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 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...

We study the economic linkage between homebuilder stock market performance and commodity futures market information on a major component of building materials—lumber. The price of lumber plays a dual role in determining homebuilder profits: it represents a production input cost and serves as a...

One distinguishable feature of storable commodities is that they relate to two markets: cash market and storage market. This paper proves that, if no arbitrage exists in the storage-cash dual markets, the commodity convenience yield has to be non-negative. However, classical reduced-form models...

We document a new stylized fact regarding the dynamics of the commodity convenience yield: the volatility of the convenience yield is heteroskedastic for industrial commodities; specifically, the volatility (variance) of the convenience yield depends on the convenience yield level. To explore...

Based on a systematic review and summarization of China’s 30 years of financial reform and development, this paper comprehensively analyzes the past, present and future development of China’s financial system and also presents the mechanism for China’s financial development from the view...

In this paper, we outline China's imported inflation via global commodity prices. We show that the prices of China's imported commodities are strongly related to global commodity prices. Meanwhile, the final goods prices from upstream industries are strongly influenced by global commodity...

The exploration of the mean-reversion of commodity prices is important for inventory management, inflation forecasting and contingent claim pricing. Bessembinder <italic>et al.</italic> [<italic>J</italic>. <italic>Finance</italic>, 1995, <bold>50</bold>, 361--375] document the mean-reversion of commodity spot prices using futures term structure data;...

This paper investigates the valuation and hedging of spread options on two commodity prices which in the long run are in dynamic equilibrium (i.e., cointegrated). The spread exhibits properties different from its two underlying commodity prices and should therefore be modelled directly. This...