Commodity Risk Factors and Intertemporal Asset Pricing
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.
Author(s):
Auckland University of Technology, Auckland
Cass Business School, City University, London
EDHEC Business School, Nice
| Type: | Working paper |
|---|---|
| Date: | le 07/04/2014 |
| Extra information : | For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ] |
| Research Cluster : | Finance |
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