Commodity pricing models generally explain the link between commodity prices and stock levels in terms of a stock-out constraint or a convenience yield. Analysis of this link is provided using monthly London Metals Exchange copper, lead, and zinc prices obtained for the period November 1964 to December 2003. A Markov model, fitted to these data, supports the existence of two distinct pricing regimes while the impact of convenience yields is also identified
Nine continuous time models applied to metal prices are applied, following a recent study of these m...
The transparency of fundamentals in commodity markets (in contrast to equity or currency markets, fo...
In this thesis, I examine the variation in the net cost of storage for five different commodities by...
The pricing of commodity futures contracts is important both for professionals and academics. It is ...
Empirical models of commodity prices are potentially important aids to decision-makers, especially a...
Artículo de publicación ISIA new methodology is laid out for the modeling of commodity prices, it de...
This thesis examines the cross-sectional and time series variation between commodities futures price...
This paper develops a theory-consistent market model for storable commodities and illustrates its ch...
Commodity prices are key ingredients in many economic theories. We pick three of them (Prebisch-Sing...
Commodity prices are key ingredients in many economic theories. We pick three of them (Prebisch-Sing...
We characterize a three-factor model of commodity spot prices, convenience yields, and interest rate...
In this paper we present an equilibrium model of commodity spot (st) and futures (ƒt) prices, with f...
In this paper we present an equilibrium model of commodity spot (st) and futures (ƒt) prices, with ...
The objective of this article is to study (understand and forecast) spot metal price levels and chan...
This article explains the role of the convenience yield in the relationships linking spot and future...
Nine continuous time models applied to metal prices are applied, following a recent study of these m...
The transparency of fundamentals in commodity markets (in contrast to equity or currency markets, fo...
In this thesis, I examine the variation in the net cost of storage for five different commodities by...
The pricing of commodity futures contracts is important both for professionals and academics. It is ...
Empirical models of commodity prices are potentially important aids to decision-makers, especially a...
Artículo de publicación ISIA new methodology is laid out for the modeling of commodity prices, it de...
This thesis examines the cross-sectional and time series variation between commodities futures price...
This paper develops a theory-consistent market model for storable commodities and illustrates its ch...
Commodity prices are key ingredients in many economic theories. We pick three of them (Prebisch-Sing...
Commodity prices are key ingredients in many economic theories. We pick three of them (Prebisch-Sing...
We characterize a three-factor model of commodity spot prices, convenience yields, and interest rate...
In this paper we present an equilibrium model of commodity spot (st) and futures (ƒt) prices, with f...
In this paper we present an equilibrium model of commodity spot (st) and futures (ƒt) prices, with ...
The objective of this article is to study (understand and forecast) spot metal price levels and chan...
This article explains the role of the convenience yield in the relationships linking spot and future...
Nine continuous time models applied to metal prices are applied, following a recent study of these m...
The transparency of fundamentals in commodity markets (in contrast to equity or currency markets, fo...
In this thesis, I examine the variation in the net cost of storage for five different commodities by...