Determinants of oil futures prices and convenience yields
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References listed on IDEAS
- Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013.
"The Fundamentals of Commodity Futures Returns,"
Review of Finance,
European Finance Association, vol. 17(1), pages 35-105.
- Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2007. "The Fundamentals of Commodity Futures Returns," NBER Working Papers 13249, National Bureau of Economic Research, Inc.
- Gary Gorton & Fumio Hayashi & K. Rouwenhorst, 2007. "The Fundamentals of Commodity Futures Returns," Yale School of Management Working Papers amz2605, Yale School of Management, revised 01 Oct 2008.
- Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dempster, M.A.H. & Tang, Ke, 2011. "Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 639-652, March.
- Cummins, Mark & Dowling, Michael & Kearney, Fearghal, 2016.
"Oil market modelling: A comparative analysis of fundamental and latent factor approaches,"
International Review of Financial Analysis,
Elsevier, vol. 46(C), pages 211-218.
- Mark Cummins & Michael Dowling & Fearghal Kearney, 2016. "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," Post-Print hal-01387596, HAL.
- repec:eee:jbfina:v:84:y:2017:i:c:p:53-67 is not listed on IDEAS
- John M. Mulvey, 2012. "Long--short versus long-only commodity funds," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1779-1785, December.
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