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|
|Date of revision:|
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- Milonas, Nikolaos T & Thomadakis, Stavros B, 1997. "Convenience Yield and the Option to Liquidate for Commodities with a Crop Cycle," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 24(2), pages 267-83.
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