Maximal Gaussian Affine Models for Multiple Commodities: A Note

Jaime Casassus (), Peng Liu and Ke Tang

No 456, Documentos de Trabajo from Instituto de Economia. Pontificia Universidad Católica de Chile.

Abstract: This paper extends the maximal affine models of single assets to a multi-commodity setup. We show that the correlated version of maximal affine models for a single commodity is no longer maximal for multiple commodities. In the maximal model, the convenience yield of a certain commodity could depend on the prices of other commodities, which is consistent with the structural model in our companion paper Casassus, Liu, and Tang (2013). This cross-commodity relationship is a feedback effect that may generate substantial comovement among long-run commodity prices, a fact that is consistent with many empirical studies.

JEL-codes: C33 G13 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.economia.uc.cl/docs/doctra/dt-456.pdf (application/pdf)

Related works:
Journal Article: Maximal Gaussian Affine Models for Multiple Commodities: A Note (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ioe:doctra:456

Access Statistics for this paper

More papers in Documentos de Trabajo from Instituto de Economia. Pontificia Universidad Católica de Chile. Contact information at EDIRC.
Bibliographic data for series maintained by Jaime Casassus ().