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Commodity convenience yield and risk premium determination: The case of the U.S. natural gas market

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  • Chiou Wei, Song Zan
  • Zhu, Zhen

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  • Chiou Wei, Song Zan & Zhu, Zhen, 2006. "Commodity convenience yield and risk premium determination: The case of the U.S. natural gas market," Energy Economics, Elsevier, vol. 28(4), pages 523-534, July.
  • Handle: RePEc:eee:eneeco:v:28:y:2006:i:4:p:523-534
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    References listed on IDEAS

    as
    1. Nikolaos Milonas & Thomas Henker, 2001. "Price spread and convenience yield behaviour in the international oil market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 23-36.
    2. Zhu, Zhen, 2002. "Time-varying forward bias and the expected excess return," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 119-137, April.
    3. Schwartz, Eduardo S, 1997. "The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-973, July.
    4. Brennan, Donna & Williams, Jeffrey & Wright, Brian D, 1997. "Convenience Yield without the Convenience: A Spatial-Temporal Interpretation of Storage under Backwardation," Economic Journal, Royal Economic Society, vol. 107(443), pages 1009-1022, July.
    5. Chambers, Marcus J & Bailey, Roy E, 1996. "A Theory of Commodity Price Fluctuations," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 924-957, October.
    6. Nicholas Kaldor, 1939. "Speculation and Economic Stability," Review of Economic Studies, Oxford University Press, vol. 7(1), pages 1-27.
    7. 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.
    8. Nabil T. Khoury & Jean‐Marc Martel, 1989. "A supply of storage theory with asymmetric information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(6), pages 573-581, December.
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