Updating the Estimation of the Supply of Storage Model
An updated supply of storage equation is estimated to reflect recent developments in the theoretical and empirical literature. Among the findings is an inverse relationship between storage cost adjusted price spread and a proxy measure of convenience yield, and a curvilinear relationship between stocks-to-use ratio and implied volatility.
|Date of creation:||2005|
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- Longstaff, Francis A, 1995. " How Much Can Marketability Affect Security Values?," Journal of Finance, American Finance Association, vol. 50(5), pages 1767-1774, December.
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Cambridge University Press, number 9780521023399, Diciembre.
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- Sarahelen Thompson, 1986. "Returns to storage in coffee and cocoa futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(4), pages 541-564, December.
- 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.
- Gray, Roger W. & Peck, Anne E., 1981. "The Chicago Wheat Futures Market: Recent Problems in Historical Perspective," Food Research Institute Studies, Stanford University, Food Research Institute, issue 01.
- Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-157, April.
- Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, vol. 66, pages 233-233. Full references (including those not matched with items on IDEAS)
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