IDEAS home Printed from https://ideas.repec.org/r/ucp/jpolec/v66y1958p233.html
   My bibliography  Save this item

Futures Trading and the Storage of Cotton and Wheat

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Sergio H. Lence & Dermot J. Hayes, 1995. "Optimal Hedging Under Forward‐Looking Behaviour," The Economic Record, The Economic Society of Australia, vol. 71(4), pages 329-342, December.
  2. Apostolos Serletis & Asghar Shahmoradi, 2007. "Futures Trading and the Storage of North American Natural Gas," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 8, pages 82-87, World Scientific Publishing Co. Pte. Ltd..
  3. Martin Ellison & Sang Seok Lee & Kevin Hjortshøj O'Rourke, 2024. "The Ends of 27 Big Depressions," American Economic Review, American Economic Association, vol. 114(1), pages 134-168, January.
  4. Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard, 2007. "Market Power in Power Markets: Evidence from Forward Prices of Electricity," CREATES Research Papers 2007-30, Department of Economics and Business Economics, Aarhus University.
  5. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
  6. Patricia Fraser & Andrew McKaig, 2001. "Basis variation and a common source of risk: evidence from UK futures markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 39-62.
  7. Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
  8. C. Peter Timmer, 2014. "The political economy of food security: a behavioral perspective," Chapters, in: Raghbendra Jha & Raghav Gaiha & Anil B. Deolalikar (ed.), Handbook on Food, chapter 2, pages 22-40, Edward Elgar Publishing.
  9. Evans, Lewis & Counsell, Kevin & Guthrie, Graeme, 2006. "Options Provided by Storage can Explain High Electricity Prices," Working Paper Series 3943, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  10. Swinand, Gregory P & O'Mahoney, Amy, 2014. "Detecting abnormalities in the Brent crude oil commodities and derivatives pricing complex," MPRA Paper 56252, University Library of Munich, Germany.
  11. Karali, Berna & Ramirez, Octavio A., 2014. "Macro determinants of volatility and volatility spillover in energy markets," Energy Economics, Elsevier, vol. 46(C), pages 413-421.
  12. Akron, Sagi & Benninga, Simon, 2013. "Production and hedging implications of executive compensation schemes," Journal of Corporate Finance, Elsevier, vol. 19(C), pages 119-139.
  13. Skold, Karl Durwood, 1989. "The integration of alternative information systems: an application to the Hogs and Pigs report," ISU General Staff Papers 1989010108000010239, Iowa State University, Department of Economics.
  14. Cesar Revoredo, 2000. "On The Solution Of The Dynamic Rational Expectations Commodity Storage Model In The Presence Of Stockholding By Speculators And Processors," Computing in Economics and Finance 2000 42, Society for Computational Economics.
  15. Jean-Francois Carpantier, 2010. "Commodities inventory effect," Working Papers hal-01821158, HAL.
  16. Sung Je Byun, 2017. "Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  17. Aaron Smith, 2005. "Partially overlapping time series: a new model for volatility dynamics in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 405-422.
  18. Assia Elgouacem, 2018. "Essays on investment and saving [Essais sur l’investissement et l’épargne]," SciencePo Working papers tel-03419405, HAL.
  19. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance.
  20. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2020. "The theory of storage in the crude oil futures market, the role of financial conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1160-1175, July.
  21. Kim, Soohyeon & Kim, Jihyo & Heo, Eunnyeong, 2021. "Speculative incentives to hoard aluminum: Relationship between capital gains and inventories," Resources Policy, Elsevier, vol. 70(C).
  22. Stein-Erik Fleten & Ronald Huisman & Mehtap Kilic & Enrico Pennings & Sjur Westgaard, 2014. "Electricity futures prices: time varying sensitivity to fundamentals," Working Papers 2014/21, Institut d'Economia de Barcelona (IEB).
  23. Yoon, Byung-Sam & Brorsen, B. Wade, 2002. "Market Inversion In Commodity Futures Prices," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 34(3), pages 1-18, December.
  24. Shi, Wei & Irwin, Scott H. & Good, Darrel L. & Dietz, Sarah N., 2005. "Wheat Forward Contract Pricing: Evidence on Forecast Power and Risk Premia," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19043, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  25. Klumpp, Tilman & Su, Xuejuan, 2021. "Stockpiling and Shortages (the “Toilet Paper Paper")," Working Papers 2021-2, University of Alberta, Department of Economics, revised 31 Dec 2024.
  26. Anthony Bopp, 2000. "Daily price adjustments in the U.S. market for natural gas," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 28(2), pages 254-265, June.
  27. Balcilar, Mehmet & Gungor, Hasan & Hammoudeh, Shawkat, 2015. "The time-varying causality between spot and futures crude oil prices: A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 51-71.
  28. Ai, Chunrong & Chatrath, Arjun & Song, Frank, 2007. "A semiparametric estimation of the optimal hedge ratio," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(2), pages 366-381, May.
  29. Liu, Peng & Tang, Ke, 2011. "The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 211-224, March.
  30. Atle Oglend & Vesa-Heikki Soini, 2020. "Equilibrium Working Curves with Heterogeneous Agents," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 355-372, August.
  31. Kim, Soohyeon & Kim, Jihyo & Heo, Eunnyeong, 2017. "Convenience yield of accessible inventories and imports: A case study of the Chinese copper market," Resources Policy, Elsevier, vol. 52(C), pages 277-283.
  32. Haugom, Erik & Ullrich, Carl J., 2012. "Market efficiency and risk premia in short-term forward prices," Energy Economics, Elsevier, vol. 34(6), pages 1931-1941.
  33. Misund, Bård & Oglend, Atle, 2016. "Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach," Energy, Elsevier, vol. 111(C), pages 178-189.
  34. Shafiqur Rahman & M. Shahid Ebrahim, 2005. "The Futures Pricing Puzzle," Computing in Economics and Finance 2005 35, Society for Computational Economics.
  35. Zulauf, Carl R. & Sanghyo, Kim, 2014. "Is Storage Rational When the Price is Expected to Decline? An Initial Study Using Data from U.S. Futures and Options Markets," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170593, Agricultural and Applied Economics Association.
  36. Maslyuk, Svetlana & Smyth, Russell, 2009. "Cointegration between oil spot and future prices of the same and different grades in the presence of structural change," Energy Policy, Elsevier, vol. 37(5), pages 1687-1693, May.
  37. Li, Yang & Brooks, Robert, 2022. "Evidence of arbitrage trading activity: The case of Chinese metal futures contracts," Emerging Markets Review, Elsevier, vol. 51(PB).
  38. Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014. "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Staff Working Papers 14-42, Bank of Canada.
  39. Ron Alquist & Lutz Kilian, 2010. "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 539-573.
  40. Richard Heaney, 1998. "A Test of the cost‐of‐carry relationship using the London Metal Exchange lead contract," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(2), pages 177-200, April.
  41. John T. Cuddington & Arturo L. Va'squez Cordano, 2013. "Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses," Working Papers 2013-09, Colorado School of Mines, Division of Economics and Business.
  42. Stückler, Maria, 2002. "Handel auf Terminkontraktmärkten," Department of Economics Working Paper Series 80, WU Vienna University of Economics and Business.
  43. Mensi, Walid & Brahim, Mariem & Hammoudeh, Shawkat & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2024. "Time-varying causality and correlations between spot and futures prices of natural gas, crude oil, heating oil, and gasoline," Resources Policy, Elsevier, vol. 93(C).
  44. Kocagil, Ahmet E. & Topyan, Kudret, 1997. "An empirical note on demand for speculation and futures risk premium: A Kalman Filter application," Review of Financial Economics, Elsevier, vol. 6(1), pages 77-93.
  45. Evans, Lewis & Guthrie, Graeme, 2007. "Commodity Price Behavior With Storage Frictions," Working Paper Series 19065, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  46. Robert Brooks & Pavel Teterin, 2020. "Samuelson hypothesis, arbitrage activity, and futures term premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1420-1441, September.
  47. Laws, Jason & Thompson, John, 2004. "The efficiency of financial futures markets: Tests of prediction accuracy," European Journal of Operational Research, Elsevier, vol. 155(2), pages 284-298, June.
  48. Robert S. Pindyck, 1994. "Inventories and the Short-Run Dynamics of Commodity Prices," RAND Journal of Economics, The RAND Corporation, vol. 25(1), pages 141-159, Spring.
  49. Chaves, Denis B. & Viswanathan, Vivek, 2016. "Momentum and mean-reversion in commodity spot and futures markets," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 39-53.
  50. Zunxin Zheng & Gaiyan Zhang & Yingzhao Ni, 2024. "Financial regulatory arbitrage and the financialization of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 826-853, May.
  51. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
  52. Considine, Timothy J. & Larson, Donald F., 1996. "Uncertainty and the price for crude oil reserves," Policy Research Working Paper Series 1655, The World Bank.
  53. Aiube, Fernando Antonio Lucena & Faquieri, Winicius Botelho, 2019. "Can Gaussian factor models of commodity prices capture the financialization phenomenon?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  54. Siaplay, Mounir & Anderson, Kim B. & Brorsen, B. Wade, 2007. "Using Basis and Futures Prices as a Barometer in Deciding Whether to Store Grain or Not," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37575, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  55. Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin & Wichmann, Robert, 2023. "Convenience yield risk," Energy Economics, Elsevier, vol. 120(C).
  56. Evans, Lewis & Counsell, Kevin & Guthrie, Graeme, 2006. "Options Provided by Storage can Explain High Electricity Prices," Working Paper Series 19042, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  57. C. Peter Timmer, 2009. "Did Speculation Affect World Rice Prices?," Working Papers 09-07, Agricultural and Development Economics Division of the Food and Agriculture Organization of the United Nations (FAO - ESA).
  58. Hikaru Hanawa Peterson & William G. Tomek, 2005. "How much of commodity price behavior can a rational expectations storage model explain?," Agricultural Economics, International Association of Agricultural Economists, vol. 33(3), pages 289-303, November.
  59. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
  60. Ing-Haw Cheng & Wei Xiong, 2014. "Financialization of Commodity Markets," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
  61. Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2017. "Commodity Storage and the Market Effects of Biofuel Policies," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(4), pages 1027-1055.
  62. Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005. "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers 11864, National Bureau of Economic Research, Inc.
  63. Timmer, C. Peter, 2008. "Causes of High Food Prices," ADB Economics Working Paper Series 128, Asian Development Bank.
  64. Bernard Michael Gilroy, 1991. "Schweizerische Pflichtlagerhaltung und ihre Finanzierung," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 431-443, September.
  65. Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013. "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 273-290.
  66. He, Chaohua & Jiang, Cheng & Molyboga, Marat, 2019. "Risk premia in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 15(C), pages 1-1.
  67. Carter, Colin A. & Revoredo-Giha, Cesar, 2000. "The Interaction of Working and Speculative Commodity Stocks," 2000 Annual meeting, July 30-August 2, Tampa, FL 21820, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  68. Brennan, Donna & Wright, Brian D. & Williams, Jeffrey, 1992. "Is Convenience Yield a Necessary Hypothesis? 'Supply of Storage' In a Wheat Market," CUDARE Working Papers 198611, University of California, Berkeley, Department of Agricultural and Resource Economics.
  69. Stein-Erik Fleten & Ronald Huisman & Mehtap Kilic & Enrico Pennings & Sjur Westgaard, 2014. "Electricity futures prices: time varying sensitivity to fundamentals," Working Papers 2014/21, Institut d'Economia de Barcelona (IEB).
  70. Francisco Arroyo Marioli, 2020. "Old crop versus new crop prices: Explaining the correlation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1192-1208, July.
  71. Jaime Casassus & Peng Liu & Ke Tang, 2011. "Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns," Documentos de Trabajo 404, Instituto de Economia. Pontificia Universidad Católica de Chile..
  72. Zulauf, Carl R. & Zhou, Haijiang & Roberts, Matthew C., 2005. "Updating the Estimation of the Supply of Storage Model," 2005 Annual meeting, July 24-27, Providence, RI 19122, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  73. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013. "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
  74. Eldor, Rafael & Pines, David, 1986. "The Futures Price of A Commodity and FIxed Supply," Foerder Institute for Economic Research Working Papers 275400, Tel-Aviv University > Foerder Institute for Economic Research.
  75. Wai Mun Fong & Kim Hock See, 2001. "Modelling the conditional volatility of commodity index futures as a regime switching process," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 133-163.
  76. Saleuddin, Rasheed & Coffman, D’Maris, 2018. "Can inflation expectations be measured using commodity futures prices?," Structural Change and Economic Dynamics, Elsevier, vol. 45(C), pages 37-48.
  77. Assia Elgouacem, 2018. "Essays on investment and saving [Essais sur l’investissement et l’épargne]," SciencePo Working papers Main tel-03419405, HAL.
  78. Triantafyllou, Athanasios & Dotsis, George, 2017. "Option-implied expectations in commodity markets and monetary policy," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 1-17.
  79. Considine, Timothy J. & Larson, Donald F., 2001. "Uncertainty and the convenience yield in crude oil price backwardations," Energy Economics, Elsevier, vol. 23(5), pages 533-548, September.
  80. Maria Stückler, 2002. "Handel auf Terminkontraktmärkten," Department of Economics Working Papers wuwp080, Vienna University of Economics and Business, Department of Economics.
  81. Siña, Matías & Guzmán, Juan Ignacio, 2019. "Real option valuation of open pit mines with two processing methods," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 30-39.
  82. Kahl, Kandice H., 1989. "Determinants of the Storage Season Corn Basis in South Carolina," Working Papers 116878, Clemson University, Department of Agricultural and Applied Economics.
  83. Jason Stevens, 2013. "The benefits of storage and non‐renewable resource price dynamics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 46(1), pages 239-265, February.
  84. Charles O. Manasseh & Jonathan E. Ogbuabor & Obiorah K. Obinna, 2016. "Volatility and Commodity Price Dynamics in Nigeria," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1599-1607.
  85. George Karathanassis & Vasilios Sogiakas, 2010. "Spill over effects of futures contracts initiation on the cash market: a regime shift approach," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 95-143, January.
  86. Liu, Hsiang-Hsi, 1983. "An annual simultaneous equation econometric model of U.S. corn and soybean cash and futures markets," ISU General Staff Papers 198301010800009935, Iowa State University, Department of Economics.
  87. Pratt, James E. & Novakovic, Andrew M., 1991. "Government Influence on the Supply of Commercial Inventories of American Cheese," Staff Papers 121491, Cornell University, Department of Applied Economics and Management.
  88. Lin, Chuanyi & Roberts, Matthew C., 2006. "Storability on Modeling Commodity Futures Prices," 2006 Annual meeting, July 23-26, Long Beach, CA 21484, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  89. Apostolos Serletis & Vaughn W. Hulleman, 2007. "Business Cycles and the Behavior of Energy Prices," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 4, pages 38-45, World Scientific Publishing Co. Pte. Ltd..
  90. Toyne, Chris, 2002. "Inventories and Commodity Price Volatility: A Test of the Theory of Storage," 2002 Conference (46th), February 13-15, 2002, Canberra, Australia 125169, Australian Agricultural and Resource Economics Society.
  91. Bolinger, Mark & Wiser, Ryan & Golove, William, 2006. "Accounting for fuel price risk when comparing renewable to gas-fired generation: the role of forward natural gas prices," Energy Policy, Elsevier, vol. 34(6), pages 706-720, April.
  92. Kao, Chung-Wei & Wan, Jer-Yuh, 2012. "Price discount, inventories and the distortion of WTI benchmark," Energy Economics, Elsevier, vol. 34(1), pages 117-124.
  93. A. Mazaheri, 1999. "Convenience yield, mean reverting prices, and long memory in the petroleum market," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 31-50.
  94. Miffre, Joëlle, 2016. "Long-short commodity investing: A review of the literature," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 3-13.
  95. Longstaff, Francis & Wang, Ashley, 2002. "Electricity Forward Prices: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7mh2m2bt, Anderson Graduate School of Management, UCLA.
  96. Irwin, Scott H., 2020. "Trilogy for troubleshooting convergence: Manipulation, structural imbalance, and storage rates," Journal of Commodity Markets, Elsevier, vol. 17(C).
  97. Scott H. Irwin & Dwight R. Sanders & Aaron Smith & Scott Main, 2020. "Returns to Investing in Commodity Futures: Separating the Wheat from the Chaff," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(4), pages 583-610, December.
  98. Vogelvang, E., 1981. "A quarterly econometric model for the price formation of coffee on the world market," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  99. Sania Wadud & Robert D. Durand & Marc Gronwald, 2021. "Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras," CESifo Working Paper Series 9202, CESifo.
  100. Benjamin Sexauer, 1977. "The Storage of Potatoes and the Maine Potatoes Futures Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 59(1), pages 220-224.
  101. Athanasios Triantafyllou & George Dotsis & Alexandros Sarris, 2020. "Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 71(3), pages 631-651, September.
  102. Barry A. Goss & S. Gulay Avsar & Siang‐Choo Chan, 1992. "Rational Expectations and Price Determination in the US Oats Market," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 16-26, December.
  103. Goss, Barry A., 1980. "Aspects Of Hedging Theory," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 24(3), pages 1-14, December.
  104. Naik, Gopal & Leuthold, Raymond M., 1991. "A Note On The Factors Affecting Corn Basis Relationships," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 23(1), pages 1-7, July.
  105. Daskalakis, George, 2018. "Temporal restrictions on emissions trading and the implications for the carbon futures market: Lessons from the EU emissions trading scheme," Energy Policy, Elsevier, vol. 115(C), pages 88-91.
  106. Nicole M. Moran & Scott H. Irwin & Philip Garcia, 2020. "Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(4), pages 611-652, December.
  107. Longstaff, Francis A & Wang, Ashley, 2002. "ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt3mw4q41x, Anderson Graduate School of Management, UCLA.
  108. Maslyuk, Svetlana & Smyth, Russell, 2008. "Unit root properties of crude oil spot and futures prices," Energy Policy, Elsevier, vol. 36(7), pages 2591-2600, July.
  109. Lin, Hua & Fortenbery, T. Randall, 2006. "Risk Premiums and the Storage of Agricultural Commodities," Staff Papers 10277, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
  110. Scott, Ayesha & Schoen, Tilman & Fernandez-Perez, Adrian, 2020. "The Predictive Power of NZX Dairy Futures," 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia 305230, Australian Agricultural and Resource Economics Society.
  111. Cristián Larroulet Vignau, 2016. "George Stigler and His Influence on the Transformation of the Chilean Economy," Serie Working Papers 44, Universidad del Desarrollo, School of Business and Economics.
  112. You‐How Go & Wee‐Yeap Lau, 2023. "What do we know about informational efficiency? Three puzzles and the new direction forward," Journal of Economic Surveys, Wiley Blackwell, vol. 37(4), pages 1489-1525, September.
  113. Stepanek, Christian & Walter, Matthias & Rathgeber, Andreas, 2013. "Is the convenience yield a good indicator of a commodity's supply risk?," Resources Policy, Elsevier, vol. 38(3), pages 395-405.
  114. Fernandez, Viviana, 2016. "Further evidence on the relationship between spot and futures prices," Resources Policy, Elsevier, vol. 49(C), pages 368-371.
  115. Brooks, Chris & Prokopczuk, Marcel & Wu, Yingying, 2013. "Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 73-85.
  116. Revoredo-Giha, Cesar & Zuppiroli, Marco, 2013. "Commodity futures markets: are they an effective price risk management tool for the European wheat supply chain?," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 2(3), pages 1-19, December.
  117. Tomek, William G., 1996. "Commodity Futures Prices As Forecasts," Working Papers 127901, Cornell University, Department of Applied Economics and Management.
  118. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2012. "Commodities volatility and the theory of storage," LIDAM Discussion Papers CORE 2012037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  119. Tomek, William G. & Robinson, Kenneth L., 1977. "PART V. Agricultural Price Analysis and Outlook," AAEA Monographs, Agricultural and Applied Economics Association, number 337217, january.
  120. Serena Ng & Francisco J. Ruge-Murcia, 2000. "Explaining the Persistence of Commodity Prices," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 149-171, October.
  121. Helmberger, Peter G. & Campbell, Gerald R. & Dobson, William D., 1981. "PART IV. Organization and Performance of Agricultural Markets," AAEA Monographs, Agricultural and Applied Economics Association, number 337229, january.
  122. Hua, Ping, 1998. "On Primary Commodity Prices: The Impact of Macroeconomic/Monetary Shocks," Journal of Policy Modeling, Elsevier, vol. 20(6), pages 767-790, December.
  123. Nakamura, Masao & Nakashima, Tomoaki & Niimura, Takahide, 2006. "Electricity markets volatility: estimates, regularities and risk management applications," Energy Policy, Elsevier, vol. 34(14), pages 1736-1749, September.
  124. Peng Liu & Zhigang Qiu & David Xiaoyu Xu, 2022. "Financial investments and commodity prices," International Review of Finance, International Review of Finance Ltd., vol. 22(4), pages 637-661, December.
  125. Ahmet E. Kocagil & Kudret Topyan, 1997. "An empirical note on demand for speculation and futures risk premium: A Kalman Filter application," Review of Financial Economics, John Wiley & Sons, vol. 6(1), pages 77-93.
  126. Henry L. Bryant & David A. Bessler & Michael S. Haigh, 2006. "Causality in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(11), pages 1039-1057, November.
  127. Arkorful, Gideon Bruce & Chen, Haiqiang & Gu, Ming & Liu, Xiaoqun, 2023. "What can we learn from the convenience yield of Bitcoin? Evidence from the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 141-153.
  128. Tao Chen & Liang Wu & Isabel Kit-Ming Yan, 2013. "On the Use of International Commodity Futures Spread for Forecasting China's Net Imports of Commodities," The World Economy, Wiley Blackwell, vol. 36(7), pages 861-879, July.
  129. Peter Berling & Victor Martínez-de-Albéniz, 2011. "Optimal Inventory Policies when Purchase Price and Demand Are Stochastic," Operations Research, INFORMS, vol. 59(1), pages 109-124, February.
  130. Frechette, Darren L., 1999. "The Supply Of Storage Under Heterogeneous Expectations," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 31(3), pages 1-14, December.
  131. repec:dau:papers:123456789/2274 is not listed on IDEAS
  132. Yao, Wei & Alexiou, Constantinos, 2024. "On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1054-1072.
  133. Samya Beidas-Strom & Mr. Andrea Pescatori, 2014. "Oil Price Volatility and the Role of Speculation," IMF Working Papers 2014/218, International Monetary Fund.
  134. Jia, Jian & Kang, Sang Baum, 2022. "Do the basis and other predictors of futures return also predict spot return with the same signs and magnitudes? Evidence from the LME," Journal of Commodity Markets, Elsevier, vol. 25(C).
  135. Nikitopoulos, Christina Sklibosios & Squires, Matthew & Thorp, Susan & Yeung, Danny, 2017. "Determinants of the crude oil futures curve: Inventory, consumption and volatility," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 53-67.
  136. Asche, Frank & Misund, Bard & Oglend, Atle, 2015. "Production Risk and the Futures Price Risk Premium?," UiS Working Papers in Economics and Finance 2015/13, University of Stavanger.
  137. Adam Zaremba, 2011. "Sources of Return in the Index Futures Markets," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(2), June.
  138. Palm, F.C. & Vogelvang, E., 1985. "An econometric analysis of the short-run demand for coffee," Serie Research Memoranda 0017, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  139. Dahlgran, Roger A., 2000. "An Examination Of Futures Price Determination Through The Lens Of Market Integration," 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia 36334, Western Agricultural Economics Association.
  140. Hsu, Chih-Hsiang, 2021. "The predictability of the return correlation of futures with different expirations in the Chinese futures market," Resources Policy, Elsevier, vol. 74(C).
  141. Rammerstorfer, Margarethe & Eisl, Roland, 2011. "Carbon capture and storage—Investment strategies for the future?," Energy Policy, Elsevier, vol. 39(11), pages 7103-7111.
  142. Brennan, Donna C. & Wright, Brian D., 1992. "Futures Markets, Storage and Convenience Yield," 1992 Conference (36th), February 10-13, 1992, Canberra, Australia 146425, Australian Agricultural and Resource Economics Society.
  143. Lei, Li-Fen, 1992. "Using futures and option contracts to manage price and quantity risk: A case of corn farmers in central Iowa," ISU General Staff Papers 1992010108000011326, Iowa State University, Department of Economics.
  144. Murat, Atilim & Tokat, Ekin, 2009. "Forecasting oil price movements with crack spread futures," Energy Economics, Elsevier, vol. 31(1), pages 85-90, January.
  145. Ziran Li & Dermot J. Hayes, 2022. "The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 428-445, March.
  146. Carter, Colin A. & Revoredo-Giha, Cesar, 2023. "Financialization and speculators risk premia in commodity futures markets," International Review of Financial Analysis, Elsevier, vol. 88(C).
  147. Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2011. "Commodity Booms and Busts," Annual Review of Resource Economics, Annual Reviews, vol. 3(1), pages 87-118, October.
  148. Choi, Jin Wook, 1982. "An analysis of price responses to public information: a case study of the USDA corn crop forecasts," ISU General Staff Papers 198201010800008030, Iowa State University, Department of Economics.
  149. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  150. Bassam Fattouh & Lavan Mahadeva, 2014. "Causes and Implications of Shifts in Financial Participation in Commodity Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(8), pages 757-787, August.
  151. Geman, Hélyette & Ohana, Steve, 2009. "Forward curves, scarcity and price volatility in oil and natural gas markets," Energy Economics, Elsevier, vol. 31(4), pages 576-585, July.
  152. Evans, Lewis & Guthrie, Graeme, 2007. "Commodity Price Behavior With Storage Frictions," Working Paper Series 3966, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  153. Boum-Jong Choe, 1992. "The precautionary demand for commodity stocks," Policy Research Working Paper Series 935, The World Bank.
  154. Ruipeng Liu & Mawuli Segnon & Oguzhan Cepni & Rangan Gupta, 2023. "Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence from Markov Switching Multifractal Models," Working Papers 202340, University of Pretoria, Department of Economics.
  155. Ng, Victor K. & Pirrong, Stephen Craig, 1996. "Price dynamics in refined petroleum spot and futures markets," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 359-388, February.
  156. Jonathan Hambur & Nick Stenner, 2017. "Financialisation and the Term Structure of Commodity Risk Premiums," RBA Research Discussion Papers rdp2017-03, Reserve Bank of Australia.
  157. Aaron Smith, 2005. "Partially overlapping time series: a new model for volatility dynamics in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 405-422, March.
  158. Amir Yaron & Leonid Kogan & Dmitry Livdan, 2004. "Futures Prices in a Production Economy with Investment Constraints," 2004 Meeting Papers 128, Society for Economic Dynamics.
  159. Ozdemir, Zeynel Abidin & Gokmenoglu, Korhan & Ekinci, Cagdas, 2013. "Persistence in crude oil spot and futures prices," Energy, Elsevier, vol. 59(C), pages 29-37.
  160. Getu Hailu & Alex Maynard & Alfons Weersink, 2015. "Empirical analysis of corn and soybean basis in Canada," Applied Economics, Taylor & Francis Journals, vol. 47(51), pages 5491-5509, November.
  161. Tomek, William G. & Peterson, Hikaru Hanawa, 2000. "Risk Management In Agricultural Markets: A Survey," 2000 Producer Marketing and Risk Management Conference, January 13-14, Orlando, FL 19580, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  162. Stronzik, Marcus & Rammerstorfer, Margarethe & Neumann, Anne, 2009. "Does the European natural gas market pass the competitive benchmark of the theory of storage? Indirect tests for three major trading points," Energy Policy, Elsevier, vol. 37(12), pages 5432-5439, December.
  163. Gary Gorton & Fumio Hayashi & K. Rouwenhorst, 2007. "The Fundamentals of Commodity Futures Returns," Yale School of Management Working Papers amz2605, Yale School of Management, revised 01 Oct 2008.
  164. George Daskalakis, Lazaros Symeonidis, Raphael N. Markellos, 2015. "Electricity futures prices in an emissions constrained economy: Evidence from European power markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  165. Lewis Evans & Graeme Guthrie, 2009. "How Options Provided by Storage Affect Electricity Prices," Southern Economic Journal, John Wiley & Sons, vol. 75(3), pages 681-702, January.
  166. repec:vuw:vuwscr:19065 is not listed on IDEAS
  167. Jonathan Kearns, 2007. "Commodity Currencies: Why Are Exchange Rate Futures Biased if Commodity Futures Are Not?," The Economic Record, The Economic Society of Australia, vol. 83(260), pages 60-73, March.
  168. Seamon, V. Frederick & Kahl, Kandice H., 2000. "An Analysis Of Factors Affecting The Regional Cotton Basis," 2000 Conference, April 17-18 2000, Chicago, Illinois 18924, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  169. Prabhat Vaze, "undated". "A Model of Inter-Regional Trade in Grains with Storage," Edinburgh School of Economics Discussion Paper Series 10, Edinburgh School of Economics, University of Edinburgh.
  170. Sarris, Alexander, 1982. "A Theory of the Bias in Futures Markets of Storable Commodities," CUDARE Working Papers 198223, University of California, Berkeley, Department of Agricultural and Resource Economics.
  171. Gray, Roger W. & Rutledge, David J.S., 1971. "The Economics of Commodity Futures Markets: A Survey," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 39(04), pages 1-52, December.
  172. Peter Berling & Kaj Rosling, 2005. "The Effects of Financial Risks on Inventory Policy," Management Science, INFORMS, vol. 51(12), pages 1804-1815, December.
  173. Fernandez, Viviana, 2016. "Futures markets and fundamentals of base metals," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 215-229.
  174. Michael Ye & John Zyren & Joanne Shore, 2002. "Forecasting crude oil spot price using OECD petroleum inventory levels," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 8(4), pages 324-333, November.
  175. repec:vuw:vuwscr:19042 is not listed on IDEAS
  176. Hélyette Geman & Vu-Nhat Nguyen, 2005. "Soybean Inventory and Forward Curve Dynamics," Management Science, INFORMS, vol. 51(7), pages 1076-1091, July.
  177. Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, University Library of Munich, Germany.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.