Rolf Dürr

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Structural Properties of Commodity Futures Term Structures and Their Implications for Basic Trading Strategies

Number of pages: 29 Posted: 16 May 2010
Rolf Dürr and Matthias Voegeli
affiliation not provided to SSRN and affiliation not provided to SSRN
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Abstract:

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Futures term structure, Roll yield, Convenience yield, Contango, Backwardation, Commodity trading strategy, Principal component analysis