库存信息下的商品远期曲线动态

ERN: Other Econometrics: Applied Econometric Modeling in Agriculture Pub Date : 2015-03-17 DOI:10.2139/ssrn.2579834

Marcel Prokopczuk, Sebastian Vicedom

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引用次数: 0

摘要

本文引入了一个新的双因素商品期限结构模型，其中库存作为第二状态变量。我们推导了期货价格的封闭公式，并对模型的性质进行了实证分析。除了在经济上具有吸引力外，我们的模型在对冲能力方面也优于著名的Gibson和Schwartz(1990)模型。

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Commodity Forward Curve Dynamics with Inventory Information

In this paper we introduce a new two-factor commodity term structure model for which inventories serve as a second state variable. We derive a closed-form formula for futures prices and empirically analyze the model's properties. Besides being economically appealing, our model also outperforms the well-known Gibson and Schwartz (1990) model in terms of hedging abilities.

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来源期刊

ERN: Other Econometrics: Applied Econometric Modeling in Agriculture

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