34 citations · 41 across the 7 of their papers we have counts for
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q-fin.GN2016
Understanding the Tracking Errors of Commodity Leveraged ETFs
Kevin Guo, Tim Leung
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a grea…
q-fin.TR2016
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
Kevin Guo, Tim Leung
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems fr…