Can Gaussian factor models of commodity prices capture the financialization phenomenon?

Volume: 50, Pages: 101028 - 101028
Published: Nov 1, 2019
Abstract
In this paper we investigate whether Gaussian factor models can capture the financialization of commodity markets. The use of convenience yield as a stochastic factor is a common practice in the literature. This variable reflects the behavior of producers and physical traders. On the other hand, the great presence of financial traders during the financialization period could make the convenience yield factor less relevant for modeling the term...
Paper Details
Title
Can Gaussian factor models of commodity prices capture the financialization phenomenon?
Published Date
Nov 1, 2019
Volume
50
Pages
101028 - 101028
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