The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices
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DOI: 10.1093/rfs/hhw087
Abstract: State-of-the-art term structure models of commodity prices have serious difficulties extrapolating the prices of long-maturity futures contracts from short-dated contracts. This situation is problematic for valuing real commodity-linked assets. We estimate a nonlinear four-factor continuous… read more here.
Keywords: commodity prices; finance; model; model commodity ... See more keywords