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Futures Market Backwardation under Risk Neutrality

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  • Bresnahan, Timothy F
  • Spiller, Pablo T

Abstract

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Suggested Citation

  • Bresnahan, Timothy F & Spiller, Pablo T, 1986. "Futures Market Backwardation under Risk Neutrality," Economic Inquiry, Western Economic Association International, vol. 24(3), pages 429-441, July.
  • Handle: RePEc:oup:ecinqu:v:24:y:1986:i:3:p:429-41
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    Cited by:

    1. 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).
    2. 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.
    3. 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.
    4. 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.
    5. William Lin & Chang-Wen Duan, 2007. "Oil convenience yields estimated under demand/supply shock," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 203-225, February.

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