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Index Investment and Financialization of Commodities
This paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlatedExpand
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The Stochastic Behavior of Commodity Prices with Heteroskedasticity in the Convenience Yield
We document a new stylized fact regarding the dynamics of the commodity convenience yield: the volatility of the convenience yield is heteroskedastic for industrial commodities; specifically, theExpand
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Long term spread option valuation and hedging
This paper investigates the valuation and hedging of spread options on two commodity prices which in the long run are in dynamic equilibrium (i.e., cointegrated). The spread exhibits propertiesExpand
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Time-varying long-run mean of commodity prices and the modeling of futures term structures
The exploration of the mean-reversion of commodity prices is important for inventory management, inflation forecasting and contingent claim pricing. Bessembinder et al. [J. Finance, 1995, 50,Expand
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Economic Linkages, Relative Scarcity, and Commodity Futures Returns
This paper shows that economic linkages among commodities create a source of long-term correlation between futures returns. We extend the theory of storage to a multi-commodity level and find thatExpand
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Commodities as Collateral
We propose and test a theory of using commodities as collateral for financing. Under capital control and collateral constraint, investors import commodities and pledge them as collateral to earnExpand
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Size and Performance of Chinese Mutual Funds: The Role of Economy of Scale and Liquidity
Using a detailed stockholding for a comprehensive sample of Chinese open-end equity mutual funds from 2004 to the first half of 2010, we investigated the effect of economy of scale and liquidity onExpand
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No-arbitrage conditions for storable commodities and the modeling of futures term structures
One distinguishable feature of storable commodities is that they relate to two markets: cash market and storage market. This paper proves that, if no arbitrage exists in the storage-cash dualExpand
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Determinants of oil futures prices and convenience yields
Commodity futures prices are usually modelled using affine term structure spot price models with latent factors extracted from the data. However, very little research to date has considered theExpand
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A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
This paper studies the dynamic relation between position changes and short-horizon returns in commodity futures markets. Speculators follow momentum strategies and trade more impatiently thanExpand
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