Ke Tang

Institute of Economics, School of Social Science, Tsinghua University

Professor

Beijing, 100084

China

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 6,666

SSRN RANKINGS

Top 6,666

in Total Papers Downloads

5,190

CITATIONS
Rank 7,056

SSRN RANKINGS

Top 7,056

in Total Papers Citations

68

Scholarly Papers (13)

1.
Downloads 805 ( 22,361)

Commodity Investing

Yale ICF Working Paper No. 06-12
Number of pages: 31 Posted: 08 Jun 2012 Last Revised: 10 Aug 2012
K. Geert Rouwenhorst and Ke Tang
Yale School of Management - International Center for Finance and Institute of Economics, School of Social Science, Tsinghua University
Downloads 805 (21,979)

Abstract:

Commodity futures, Theory of Storage, Theory of Normal Backwardation, Risk premium, Trader positions

Commodity Investing

Annual Review of Financial Economics, Vol. 4, pp. 447-467, 2012
Posted: 04 Nov 2012
K. Geert Rouwenhorst and Ke Tang
Yale School of Management - International Center for Finance and Institute of Economics, School of Social Science, Tsinghua University

Abstract:

2.

Index Investment and Financialization of Commodities

Number of pages: 49 Posted: 17 Aug 2009 Last Revised: 21 Sep 2010
Ke Tang and Wei Xiong
Institute of Economics, School of Social Science, Tsinghua University and Princeton University - Department of Economics
Downloads 739 (23,800)
Citation 63

Abstract:

co-movement of commodities, volatility, financial crisis

3.

Economic Linkages, Relative Scarcity, and Commodity Futures Returns

Number of pages: 50 Posted: 26 Nov 2008 Last Revised: 31 Jul 2012
Jaime Casassus, Peng Liu and Ke Tang
Pontificia Universidad Catolica de Chile, Cornell University and Institute of Economics, School of Social Science, Tsinghua University
Downloads 614 (32,718)
Citation 1

Abstract:

commodity futures, economic linkages, relative scarcity, correlation term structure, convenience yields, spread options

4.

The Stochastic Behavior of Commodity Prices with Heteroskedasticity in the Convenience Yield

Journal of Empirical Finance, Forthcoming
Number of pages: 26 Posted: 25 Mar 2008 Last Revised: 18 Dec 2010
Peng Liu and Ke Tang
Cornell University and Institute of Economics, School of Social Science, Tsinghua University
Downloads 476 (44,193)
Citation 3

Abstract:

commodity, convenience yield, heteroskedasticity, affine models, volatility smile

5.

Financial-Demand Based Commodity Pricing: A Theoretical Model for Financialization of Commodities

Number of pages: 36 Posted: 19 Oct 2011 Last Revised: 08 Sep 2012
Peng Liu, Zhigang Qiu and Ke Tang
Cornell University, Renmin University of China and Institute of Economics, School of Social Science, Tsinghua University
Downloads 393 (50,498)

Abstract:

commodities, financial demand, demand based asset pricing, convenience yield

6.

A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets

Yale International Center for Finance Working Paper No. 14-24
Number of pages: 61 Posted: 14 Jun 2014 Last Revised: 03 Feb 2017
Renmin University of China - Hanqing Institute, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Science, Tsinghua University
Downloads 269 (40,105)

Abstract:

Commodity futures, liquidity provision, return predictability, theory of normal backwardation, hedging pressure, risk premium

7.

Long and Short Term Jumps in Commodity Futures Prices

Number of pages: 52 Posted: 27 Mar 2008 Last Revised: 15 Dec 2010
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research and Institute of Economics, School of Social Science, Tsinghua University
Downloads 268 (80,736)

Abstract:

commodity futures, convenience yields, jumps, non-Gaussian state space models, extended Kalman Â…lter, importance sampling

8.

Commodities as Collateral

Forthcoming, Review of Financial Studies
Number of pages: 54 Posted: 17 Nov 2013 Last Revised: 19 Apr 2016
Ke Tang and Haoxiang Zhu
Institute of Economics, School of Social Science, Tsinghua University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 252 (44,567)

Abstract:

commodity, collateral, financialization, theory of storage, capital control

9.

Size and Performance of Chinese Mutual Funds: The Role of Economy of Scale and Liquidity

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 43 Posted: 26 Sep 2011
Ke Tang, Wenjun Wang and Rong Xu
Institute of Economics, School of Social Science, Tsinghua University, Renmin University of China and Renmin University of China
Downloads 214 (97,633)

Abstract:

Chinese mutual funds, size, performance, economy of scale, liquidity

10.

Estimating Exponential Affine Models with Correlated Measurement Errors: Applications to Fixed Income and Commodities

22nd Australasian Finance and Banking Conference 2009
Number of pages: 38 Posted: 24 Aug 2009
M. A. H. Dempster and Ke Tang
University of Cambridge - Centre for Financial Research and Institute of Economics, School of Social Science, Tsinghua University
Downloads 143 (151,016)
Citation 1

Abstract:

exponential affine model, state space form, Kalman filter, EM algorithm, measurement errors, serial correlation, commodity futures, yield curves

11.

Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade?

Forthcoming in Quantitative Finance
Number of pages: 34 Posted: 05 Feb 2013
Liyan Han, Rong Liang and Ke Tang
Beihang University (BUAA) - School of Economic and Management Science, Renmin University of China and Institute of Economics, School of Social Science, Tsinghua University
Downloads 139 (142,347)

Abstract:

Cross-market Price Discovery, Soybeans Futures, Danlian Commodity Exchange, Chicago Board of Trade

12.

Maximal Affine Models for Multiple Commodities: A Note

Number of pages: 17 Posted: 09 Sep 2012
Jaime Casassus, Peng Liu and Ke Tang
Pontificia Universidad Catolica de Chile, Cornell University and Institute of Economics, School of Social Science, Tsinghua University
Downloads 98 (202,058)

Abstract:

maximal affine models, multiple commodities, futures prices

13.

Are Chinese Warrants Derivatives? Evidence from Connections to their Underlying Stocks

Quantitative Finance, Forthcoming
Number of pages: 35 Posted: 08 Oct 2012
Ke Tang and Changyun Wang
Institute of Economics, School of Social Science, Tsinghua University and affiliation not provided to SSRN
Downloads 82 (214,805)

Abstract:

warrants, Chinese market, short sales prohibition, arbitrage pricing theory, resale-option, bubble theory