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Economic Linkages, Relative Scarcity, and Commodity Futures Returns

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... Full description

1st Person: Casassus, Jaime
Additional Persons: Liu, Peng verfasserin; Tang, Ke verfasserin
Source: in The review of financial studies Vol. 26, No. 5 (2013), p. 1324-1362
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Type of Publication: Article
Language: English
Published: 2013
Keywords: research-article
Online: Volltext
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