Portfolio Speculation and Commodity Price Volatility in a Stochastic Storage Model
Author:
Affiliation:
1. Food and Resource EconomicsUniversity of British Columbia
2. Nidera B.V. (The Netherlands)Agriculture and Agri‐products (SPAA) Research Network
Publisher
Wiley
Subject
Economics and Econometrics,Agricultural and Biological Sciences (miscellaneous)
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1093/ajae/aat098
Reference24 articles.
1. BakerS.The Financialization of Storable Commodities2012
2. Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets
3. The empirical relevance of the competitive storage model
4. Efficient Asset Portfolios and the Theory of Normal Backwardation
5. A Theory of Commodity Price Fluctuations
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