Add to ORKGThis paper presents an in-depth analysis of the convenience yield determinants of corn futures. The estimated spot price and convenience yield are derived from Gibson and Schwartz’s (1990) two-factor model, and a deterministic seasonal component is added to the convenience yield. Numerous potentially novel determinants are regressed against the convenience yield while controlling for the spot price. The spot price is highly significant in all univariate regressions and is the main driver of changes in convenience yield. This research confirms the theory of storage, provides conflicting results regarding net hedging pressure, shows significant results for novel determinants, and proves that drought influences the convenience yield determinan...
This study investigates the recent evolution of corn yield, with a special focus on the tradeoff bet...
Abstract theory is that both hedgers and speculators are risk-Empirical tests were made of component...
Recent years witnessed commodity prices increases which have fostered researchworks on their predict...
This paper presents an in-depth analysis of the convenience yield determinants of corn futures. The ...
[[abstract]]This paper extends the call option model of Milonas and Thomadakis (1997) to estimate oi...
This thesis examines the cross-sectional and time series variation between commodities futures price...
In this article I empirically examine the daily convenience yield behavior for six commodity markets...
Previous studies provide pricing models of options on futures spreads. However, none fully reflect t...
Yield growth in agricultural crops is of importance to those who make long-term projections of food ...
This study investigates the recent evolution of corn yield, with a special focus on the tradeoff bet...
WP 2000-17 December 2000A structural model is developed to simulate the probability distributions of...
Some researchers have found that futures prices were biased predictors of future cash prices due to ...
The purpose of this paper is twofold: First, we look at the fundamentals of spot prices of corn and ...
An extensive empirical literature has examined the behavior of crop yields over time. Corn yields ha...
In this thesis, I examine the variation in the net cost of storage for five different commodities by...
This study investigates the recent evolution of corn yield, with a special focus on the tradeoff bet...
Abstract theory is that both hedgers and speculators are risk-Empirical tests were made of component...
Recent years witnessed commodity prices increases which have fostered researchworks on their predict...
This paper presents an in-depth analysis of the convenience yield determinants of corn futures. The ...
[[abstract]]This paper extends the call option model of Milonas and Thomadakis (1997) to estimate oi...
This thesis examines the cross-sectional and time series variation between commodities futures price...
In this article I empirically examine the daily convenience yield behavior for six commodity markets...
Previous studies provide pricing models of options on futures spreads. However, none fully reflect t...
Yield growth in agricultural crops is of importance to those who make long-term projections of food ...
This study investigates the recent evolution of corn yield, with a special focus on the tradeoff bet...
WP 2000-17 December 2000A structural model is developed to simulate the probability distributions of...
Some researchers have found that futures prices were biased predictors of future cash prices due to ...
The purpose of this paper is twofold: First, we look at the fundamentals of spot prices of corn and ...
An extensive empirical literature has examined the behavior of crop yields over time. Corn yields ha...
In this thesis, I examine the variation in the net cost of storage for five different commodities by...
This study investigates the recent evolution of corn yield, with a special focus on the tradeoff bet...
Abstract theory is that both hedgers and speculators are risk-Empirical tests were made of component...
Recent years witnessed commodity prices increases which have fostered researchworks on their predict...