SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Convenience Yield Approximation Model for Mean‐Reverting Commodities
16 references·0 citing·37 second hop
A Convenience Yield Approximation Model for Mean‐Reverting Commodities (2014)A Convenience Yield Approximation Model f…Term-Structure Models (2009)Term-Structure ModelsMean Reversion Versus Random Walk in Oil and Natural Gas Prices (2007)Mean Reversion Versus Random …Approximation for convenience yield in commodity futures pricing (2002)Approximation for convenience…The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Dynamics of Commodity Spo…Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…The Long-Run Evolution of Energy Prices (1999)The Long-Run Evolution of Ene…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure (1995)Mean Reversion in Equilibrium…How Much Can Marketability Affect Security Values? (1995)How Much Can Marketability Af…The present value model of rational commodity pricing (1991)The present value model of ra…Commodity convenience yields as an option profit (1990)Commodity convenience yields …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Speculation and Economic Stability (1976)Speculation and Economic Stab…Futures Trading and the Storage of Cotton and Wheat (1958)Futures Trading and the Stora…Theory of the Inverse Carrying Charge in Futures Markets (1948)Theory of the Inverse Carryin…Speculation and Economic Stability (1939)Speculation and Economic Stab…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Oil and energy price volatility (2006)A new approach for crude oil price analysis based on Empirical Mode Decomposition (2007)Equilibrium Forward Curves for Commodities (2000)Review of Economic Studies (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean reversion in stock prices (1988)Permanent and Temporary Components of Stock Prices (1988)Modeling seasonality in agricultural commodity futures (2002)An overview of global gold market and gold price forecasting (2010)Modelling and measuring price discovery in commodity markets (2010)Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures (2004)Forecasting volatility of crude oil markets (2008)The Econometrics of Financial Markets (2012)The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements (2021)An equilibrium characterization of the term structure (1977)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)An Intertemporal General Equilibrium Model of Asset Prices (1985)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)The Simultaneous Determination of Spot and Futures Prices (1976)Business Cycles and the Behavior of Metals Prices (1988)Backwardation in Oil Futures Markets: Theory and Empirical Evidence (1995)Asset storability and price discovery in commodity futures markets: A new look (2001)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Strategic and Tactical Value of Commodity Futures (2006)Financialization of Commodity Markets (2013)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices1,098 cited
  • 1939Speculation and Economic Stability913 cited
  • 1976Speculation and Economic Stability806 cited
  • 1999The Long-Run Evolution of Energy Prices657 cited
  • 2001The Dynamics of Commodity Spot and Futures Markets: A Primer591 cited
  • 1958Futures Trading and the Storage of Cotton and Wheat553 cited
  • 1995Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure400 cited
  • 1948Theory of the Inverse Carrying Charge in Futures Markets327 cited
  • 2009Term-Structure Models300 cited
  • 1995How Much Can Marketability Affect Security Values?284 cited
  • 1991The present value model of rational commodity pricing176 cited
  • 1990Commodity convenience yields as an option profit76 cited
  • 2002Approximation for convenience yield in commodity futures pricing58 cited
  • 2007Mean Reversion Versus Random Walk in Oil and Natural Gas Prices

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

57 cited

Cited by

No citing works inside the corpus for this window.