Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
Download full text from publisher
References listed on IDEAS
- Eduardo Schwartz & James E. Smith, 2000. "Short-Term Variations and Long-Term Dynamics in Commodity Prices," Management Science, INFORMS, vol. 46(7), pages 893-911, July.
- Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-973, July.
- Pindyck, Robert S & Rotemberg, Julio J, 1990.
"The Excess Co-movement of Commodity Prices,"
Royal Economic Society, vol. 100(403), pages 1173-1189, December.
- Pindyck, Robert S. & Rotemberg, Julio., 1987. "The excess co-movement of commodity prices," Working papers 1969-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert S. Pindyck & Julio J. Rotemberg, 1988. "The Excess Co-Movement of Commodity Prices," NBER Working Papers 2671, National Bureau of Economic Research, Inc.
- Bryan R. Routledge & Duane J. Seppi & Chester S. Spatt, 2000.
"Equilibrium Forward Curves for Commodities,"
Journal of Finance,
American Finance Association, vol. 55(3), pages 1297-1338, June.
- Bryan Routledge & Duane Seppi & Chester Spatt, "undated". "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-49, Carnegie Mellon University, Tepper School of Business.
- Bryan Routledge & Duane Seppi & Chester Spatt, "undated". "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-50, Carnegie Mellon University, Tepper School of Business.
- Gibson, Rajna & Schwartz, Eduardo S, 1990. " Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, vol. 45(3), pages 959-976, July.
- Miltersen, Kristian R. & Schwartz, Eduardo S., 1998. "Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(01), pages 33-59, March.
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- Jaime Casassus & Pierre Collin-Dufresne, 2005. "Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates," Journal of Finance, American Finance Association, vol. 60(5), pages 2283-2331, October.
- Gregory R. Duffee, 2002. "Term Premia and Interest Rate Forecasts in Affine Models," Journal of Finance, American Finance Association, vol. 57(1), pages 405-443, February.
- Mihaela Manoliu & Stathis Tompaidis, 2002. "Energy futures prices: term structure models with Kalman filter estimation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 21-43.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Hannan, E J & Terrell, R D & Tuckwell, N E, 1970. "The Seasonal Adjustment of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(1), pages 24-52, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015.
"Electricity derivatives pricing with forward-looking information,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 58(C), pages 34-57.
- Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Derivatives Pricing with Forward-Looking Information," Working Papers on Finance 1317, University of St. Gallen, School of Finance.
- Chris Brooks & Marcel Prokopczuk, 2013. "The dynamics of commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 527-542, March.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
- Kovacevic, Raimund M. & Paraschiv, Florentina, 2012. "Medium-term Planning for Thermal Electricity Production," Working Papers on Finance 1220, University of St. Gallen, School of Finance.
- Jaime Casassus & Peng Liu & Ke Tang, 2015.
"Maximal Gaussian Affine Models for Multiple Commodities: A Note,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 35(1), pages 75-86, January.
- Jaime Casassus & Peng Liu & Ke Tang, 2014. "Maximal Gaussian Affine Models for Multiple Commodities: A Note," Documentos de Trabajo 456, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Jaime Casassus & Peng Liu & Ke Tang, 2011. "Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns," Documentos de Trabajo 404, Instituto de Economia. Pontificia Universidad Católica de Chile..
- repec:gam:jrisks:v:5:y:2017:i:3:p:48-:d:111674 is not listed on IDEAS
- Anh Ngoc Lai & Constantin Mellios, 2016. "Valuation of commodity derivatives with an unobservable convenience yield," Post-Print halshs-01183166, HAL.
- Marcel Prokopczuk & Yingying Wu, 2013. "Estimating term structure models with the Kalman filter," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 4, pages 97-113 Edward Elgar Publishing.
More about this item
KeywordsCommodities; Integrated Model; Crude Oil; Heating Oil; Gasoline; Futures; Kalman Filter;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:5412. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.