Comparison of commodity future pricing approaches with cointegration techniques
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DOI: 10.1142/S2345768615500026
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- Giovanni BARONE-ADESI & Helyette GEMAN & John THEAL, 2009. "On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market," Swiss Finance Institute Research Paper Series 09-07, Swiss Finance Institute.
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Cited by:
- Jiao Li, 2016. "Trading VIX Futures under Mean Reversion with Regime Switching," Papers 1605.07945, arXiv.org, revised Jun 2016.
- Jiao Li, 2016. "Trading VIX futures under mean reversion with regime switching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-20, September.
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Keywords
Commodity futures; theory of normal backwardation; theory of storage; risk premium; convenience yield;All these keywords.
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