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Updating the Estimation of the Supply of Storage Model

Author

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  • Zulauf, Carl R.
  • Zhou, Haijiang
  • Roberts, Matthew C.

Abstract

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.

Suggested Citation

  • 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).
    • Handle: RePEc:ags:aaea05:19122
    DOI: 10.22004/ag.econ.19122
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    References listed on IDEAS

    as
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    7. 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.
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