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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- 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.
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- 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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