Institute of Economics, School of Social Science, Tsinghua University
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Commodity futures, Theory of Storage, Theory of Normal Backwardation, Risk premium, Trader positions
co-movement of commodities, volatility, financial crisis
commodity futures, economic linkages, relative scarcity, correlation term structure, convenience yields, spread options
commodity, convenience yield, heteroskedasticity, affine models, volatility smile
commodities, financial demand, demand based asset pricing, convenience yield
Commodity futures, liquidity provision, return predictability, theory of normal backwardation, hedging pressure, risk premium
commodity futures, convenience yields, jumps, non-Gaussian state space models, extended Kalman
lter, importance sampling
commodity, collateral, financialization, theory of storage, capital control
Chinese mutual funds, size, performance, economy of scale, liquidity
exponential affine model, state space form, Kalman filter, EM algorithm, measurement errors, serial correlation, commodity futures, yield curves
Cross-market Price Discovery, Soybeans Futures, Danlian Commodity Exchange, Chicago Board of Trade
maximal affine models, multiple commodities, futures prices
warrants, Chinese market, short sales prohibition, arbitrage pricing theory, resale-option, bubble theory
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