Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre: This paper proposes a commodity-based specification of the Intertemporal CAPM (ICAPM) that uses state variables grounded on the theories of storage and hedging pressure.
Auckland University of Technology, Auckland
Cass Business School, City University, London
EDHEC Business School, Nice
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|Research Cluster :||Finance|