Jaime Casassus is from the Escuela de Ingeniería de la Pontificia Universidad Católica de Chile. Pierre Collin-Dufresne is from the University of California, Berkeley. Most of the work was completed while both authors were at Carnegie Mellon University. We thank Jesper Andreasen; Stephan Dieckmann; Bob Goldstein; Bryan Routledge; Eduardo Schwartz; Fallaw Sowell; Sanjay Srivastava, Stan Zin; seminar participants at UC Berkeley, Carnegie Mellon University, the University of Madison-Wisconsin, the University of Southern California, the 2002 European Finance Association, the 2004 Western Finance Association; an anonymous referee; and the editor, Suresh Sundaresan. Casassus acknowledges financial support from MIDEPLAN and FONDECYT (grant 1040328).
Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
Version of Record online: 16 SEP 2005
© 2005 the American Finance Association
The Journal of Finance
Volume 60, Issue 5, pages 2283–2331, October 2005
How to Cite
CASASSUS, J. and COLLIN-DUFRESNE, P. (2005), Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates. The Journal of Finance, 60: 2283–2331. doi: 10.1111/j.1540-6261.2005.00799.x
- Issue online: 16 SEP 2005
- Version of Record online: 16 SEP 2005
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