1. The benefits of storage and non‐renewable resource price dynamics. (2013). Stevens, Jason.
   In: Canadian Journal of Economics/Revue canadienne d'économique.
   RePEc:wly:canjec:v:46:y:2013:i:1:p:239-265.

   Full description at Econpapers || Download paper

2. The zero-lower bound on interest rates: Myth or reality?. (2013). Jarrow, Robert.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:10:y:2013:i:4:p:151-156.

   Full description at Econpapers || Download paper

3. Who makes on-the-run Treasuries special?. (2011). McBrady, Matthew R. ; Graveline, Jeremy J..
   In: Journal of Financial Intermediation.
   RePEc:eee:jfinin:v:20:y:2011:i:4:p:620-632.

   Full description at Econpapers || Download paper

4. Decomposing swap spreads. (2008). Lando, David ; Feldhutter, Peter.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:88:y:2008:i:2:p:375-405.

   Full description at Econpapers || Download paper

5. Dealer behavior in the specials market for US Treasury securities. (2007). Garbade, Kenneth ; Fleming, Michael.
   In: Journal of Financial Intermediation.
   RePEc:eee:jfinin:v:16:y:2007:i:2:p:204-228.

   Full description at Econpapers || Download paper

1. Brennan M. (1958) The supply of storage. American Economic Review 48: 50–72.
   Paper not yet in RePEc: Add citation now
   

2. Casassus J., Collin-Dufrensne P. (2005) Stochastic convenience yield implied from commodity futures and interest rates. Journal of Finance 60(5): 2283–2331.

3. Cherian J., Jacquier E., Jarrow R. (2004) Pricing the convenience yield of treasury securities: Theory and evidence. Review of Derivatives Research 7((2): 79–97.
   Paper not yet in RePEc: Add citation now
   

4. Cootner P. (1960) Returns to speculators: Rejoinder. Journal of Political Economy 68(4): 415–418.

5. Cootner P. (1960) Returns to speculators: Telser versus Keynes. Journal of Political Economy 68(4): 396–404.

6. Detemple J. (2006) American-style derivatives: Valuation and computation. Chapman and Hall/CRC Financial Mathematics Series, New York.
   Paper not yet in RePEc: Add citation now
   
7. Duffie D. (1989) Futures markets. Prentice Hall, Englewood Cliffs.
   Paper not yet in RePEc: Add citation now
   
8. Duffie D. (2001) Dynamic asset pricing theory. Princeton University Press, Princeton, NJ.
   Paper not yet in RePEc: Add citation now
   
9. Duffie D., Schroder M., Skiada C. (1996) Recursive valuation of defaultable securities and the timing of the resolution of uncertainty. Annals of Applied Probability 6: 1075–1090.
   Paper not yet in RePEc: Add citation now
   

10. Fama E., French K. (1987) Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage. Journal of Business 60(1): 55–73.

11. Gibson R., Schwartz E. (1990) Stochastic convenience yield and the pricing of oil contingent claims. Journal of Finance 45(3): 959–976.

12. Gorton, G., Hayashi, F., & Rouwenhorst, K. G. (2007). The fundamentals of commodity futures returns. NBER working paper.

13. Heinkel R., Howe M., Hughes J. (1990) Commodity convenience yields as an option profit. Journal of Futures Markets 10(5): 519–533.
    Paper not yet in RePEc: Add citation now
    
14. Hicks J. (1939) Value and capital. Claredon Press, Oxford.
    Paper not yet in RePEc: Add citation now
    
15. Houthakker H. (1957) Can speclators forecast prices?. Review of Economics and Statistics 39(2): 143–151.
    Paper not yet in RePEc: Add citation now
    
16. Jacod, J., & Protter, P. (2006). Risk neutral compatibility with option prices, preprint.
    Paper not yet in RePEc: Add citation now
    

17. Jarrow, R., & Protter, P. (2008). Forward and futures prices with bubbles. International Journal of Theoretical and Applied Finance (forthcoming).

18. Jarrow, R., Protter, P., & Shimbo, K. (2008). Asset price bubbles in incomplete markets. Mathematical Finance (forthcoming).

19. Kaldor N. (1939) Speculation and economic stability. Review of Economic Studies 7(1): 1–27.

20. Karatzas, I., & Shreve, S., (1998). Methods of mathematical finance, 2nd printing, Berlin: Springer.
    Paper not yet in RePEc: Add citation now
    
21. Keynes J.M. (1930) Treatise on money. Macmillan, London.
    Paper not yet in RePEc: Add citation now
    

22. Margrabe W. (1978) The value of an option to exchange one asset for another. Journal of Finance 33(1): 177–186.

23. Miltersen K., Schwartz E. (1998) Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates. Journal of Financial and Quantitative Analysis 33(1): 33–59.

24. Protter, P. (2005). Applications of mathematics (2nd ed., Vol. 21). Berlin: Springer (Version 2.1).
    Paper not yet in RePEc: Add citation now
    

25. Routledge B., Seppi D., Spatt C. (2000) Equilibrium forward curves for commodities. Journal of Finance 55: 1297–1338.

26. Schwartz E. (1997) The stochastic behavior of commodity prices: Implications for valuation and hedging. Journal of Finance 52(3): 923–973.

27. Schweizer M., Wissel J. (2008) Term structures of implied volatilities: Absence of arbitrage and existence results. Mathematical Finance 18: 77–114.

28. Shreve S. (2004) Stochastic calculus for finance II: Continuous time models. Springer, Berlin.
    Paper not yet in RePEc: Add citation now
    

29. Telser L. (1958) Futures trading and the storage of cotton and wheat. Journal of Political Economy 66(3): 233–255.

30. Telser L. (1960) Returns to speculators: Telser versus Keynes: Reply. Journal of Political Economy 68(4): 405–415.

31. Working H. (1948) Theory of the inverse carrying charge in futures markets. Journal of Farm Economics 30(1): 1–28.

32. Working H. (1949) The theory of price of storage. American Economic Review 39(6): 1254–1262.
    Paper not yet in RePEc: Add citation now
    

1. Risk Premiums in the Cross-Section of Commodity Convenience Yields. (2015). Bollinger, Thomas ; Kind, Axel.
   In: Working Paper Series of the Department of Economics, University of Konstanz.
   RePEc:knz:dpteco:1517.

   Full description at Econpapers || Download paper

2. A comparison of the convenience yield and interest-adjusted basis. (2015). Fouquau, Julien ; Six, Pierre.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:14:y:2015:i:c:p:142-149.

   Full description at Econpapers || Download paper

3. Volatility equicorrelation: A cross-market perspective. (2014). Chevallier, Julien ; Aboura, Sofiane.
   In: Economics Letters.
   RePEc:eee:ecolet:v:122:y:2014:i:2:p:289-295.

   Full description at Econpapers || Download paper

4. A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information. (2014). Kato, Takashi ; Sekine, Jun ; Yamamoto, Hiromitsu .
   In: Papers.
   RePEc:arx:papers:1406.4275.

   Full description at Econpapers || Download paper

5. Commodity Derivative Pricing Under the Benchmark Approach. (2013). Du, KE.
   In: PhD Thesis.
   RePEc:uts:finphd:2.

   Full description at Econpapers || Download paper

6. The Financialization of Commodity Markets. (2013). Xiong, Wei ; Cheng, Ing-Haw.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:19642.

   Full description at Econpapers || Download paper

7. Carry. (2013). Vrugt, Evert ; Pedersen, Lasse ; koijen, ralph ; Moskowitz, Tobias J. ; Ralph S. J. Koijen, .
   In: NBER Working Papers.
   RePEc:nbr:nberwo:19325.

   Full description at Econpapers || Download paper

8. Commodity and Asset Pricing Models: An Integration. (2013). Kovacevic, Ivo ; Cortazar, Gonzalo ; Schwartz, Eduardo S..
   In: NBER Working Papers.
   RePEc:nbr:nberwo:19167.

   Full description at Econpapers || Download paper

9. Risk Premia in Crude Oil Futures Prices. (2013). Wu, Jing Cynthia ; Hamilton, James.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:19056.

   Full description at Econpapers || Download paper

10. Adjusted Moneys Worth Ratios in Life Annuities. (2013). Walker, Eduardo ; Casassus, Jaime.
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:434.

    Full description at Econpapers || Download paper

11. The Economic Impact of Oil on Industry Portfolios. (2013). Casassus, Jaime ; Higuera, Freddy .
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:433.

    Full description at Econpapers || Download paper

12. Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation. (2013). Suenaga, Hiroaki.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:93:y:2013:i:c:p:53-66.

    Full description at Econpapers || Download paper

13. Investment shocks and the commodity basis spread. (2013). Yang, Fan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:110:y:2013:i:1:p:164-184.

    Full description at Econpapers || Download paper

14. Limits to arbitrage and hedging: Evidence from commodity markets. (2013). Ramadorai, Tarun ; Acharya, Viral ; Lochstoer, Lars A..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:2:p:441-465.

    Full description at Econpapers || Download paper

15. Seasonality and the valuation of commodity options. (2013). Prokopczuk, Marcel ; Rudolf, Markus ; Back, Janis.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:273-290.

    Full description at Econpapers || Download paper

16. Humps in the volatility structure of the crude oil futures market: New evidence. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl.
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:989-1000.

    Full description at Econpapers || Download paper

17. The stochastic seasonal behavior of energy commodity convenience yields. (2013). Poblacion, Javier ; Serna, Gregorio ; Mirantes, Andres Garcia .
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:155-166.

    Full description at Econpapers || Download paper

18. Humps in the Volatility Structure of the Crude Oil Futures Market. (2012). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:308.

    Full description at Econpapers || Download paper

19. Globally Distributed Production and Asset Pricing:the Rise of Latin America in CME Soybean Futures. (2012). Merener, Nicolas.
    In: Business School Working Papers.
    RePEc:udt:wpbsdt:2012-01.

    Full description at Econpapers || Download paper

20. Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models. (2012). Linetsky, Vadim.
    In: Papers.
    RePEc:arx:papers:1204.3679.

    Full description at Econpapers || Download paper

21. Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns. (2011). Tang, Ke ; Casassus, Jaime ; Liu, Peng.
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:404.

    Full description at Econpapers || Download paper

22. Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities. (2011). Tang, Ke ; Dempster, M. A. H., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:3:p:639-652.

    Full description at Econpapers || Download paper

23. Jumps and stochastic volatility in oil prices: Time series evidence. (2011). Larsson, Karl ; Nossman, Marcus.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:3:p:504-514.

    Full description at Econpapers || Download paper

24. The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield. (2011). Tang, Ke ; Liu, Peng.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:211-224.

    Full description at Econpapers || Download paper

25. Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns. (2011). Cheng, Wan-Hsiu ; Hung, Jui-Cheng.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:1:p:160-173.

    Full description at Econpapers || Download paper

26. Convenience yields. (2010). Jarrow, Robert.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:13:y:2010:i:1:p:25-43.

    Full description at Econpapers || Download paper

27. Consumption and Hedging in Oil Importing Developing Countries. (2010). Casassus, Jaime ; Aldunate, Felipe.
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:376.

    Full description at Econpapers || Download paper

28. Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach. (2010). Casassus, Jaime ; Ceballos, Diego .
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:373.

    Full description at Econpapers || Download paper

29. Correlation structure between inflation and oil futures returns: An equilibrium approach. (2010). Casassus, Jaime ; Higuera, Freddy ; Ceballos, Diego .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:35:y:2010:i:4:p:301-310.

    Full description at Econpapers || Download paper

30. Can oil prices help estimate commodity futures prices? The cases of copper and silver. (2010). Cortazar, Gonzalo ; Eterovic, Francisco .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:35:y:2010:i:4:p:283-291.

    Full description at Econpapers || Download paper

31. No-arbitrage conditions for storable commodities and the modeling of futures term structures. (2010). Tang, Ke ; Liu, Peng.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1675-1687.

    Full description at Econpapers || Download paper

32. Commodity derivatives valuation with autoregressive and moving average components in the price dynamics. (2010). Prokopczuk, Marcel ; Paschke, Raphael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:11:p:2742-2752.

    Full description at Econpapers || Download paper

33. Macroeconomic factors and oil futures prices: A data-rich model. (2010). Zagaglia, Paolo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:2:p:409-417.

    Full description at Econpapers || Download paper

34. Jump dynamics with structural breaks for crude oil prices. (2010). Lee, Yen-Hsien ; Chiou, Jer-Shiou ; Hu, Hsu-Ning .
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:2:p:343-350.

    Full description at Econpapers || Download paper

35. Modelling and measuring price discovery in commodity markets. (2010). Gonzalo, Jesus ; Figuerola-Ferretti, Isabel.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:158:y:2010:i:1:p:95-107.

    Full description at Econpapers || Download paper

36. Hedging price risk when payment dates are uncertain. (2009). Korn, Olaf.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0714.

    Full description at Econpapers || Download paper

37. Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model. (2009). Shiraya, Kenichiro ; Takahashi, Akihiko.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf618.

    Full description at Econpapers || Download paper

38. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives. (2009). Schwartz, Eduardo S. ; Trolle, Anders B..
    In: The Review of Financial Studies.
    RePEc:oup:rfinst:v:22:y:2009:i:11:p:4423-4461.

    Full description at Econpapers || Download paper

39. Monte Carlo valuation of natural gas investments. (2009). Chamorro, Jose ; Abadie, Luis M..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:18:y:2009:i:1:p:10-22.

    Full description at Econpapers || Download paper

40. Evidence of unspanned stochastic volatility in crude-oil market. (2009). Tudor, Razvan .
    In: Advances in Economic and Financial Research - DOFIN Working Paper Series.
    RePEc:cab:wpaefr:33.

    Full description at Econpapers || Download paper

41. Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets. (2008). Marena, Marina ; Fusai, Gianluca ; Roncoroni, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:10:p:2033-2045.

    Full description at Econpapers || Download paper

42. Oil price dynamics (2002-2006). (2008). Askari, Hossein ; Krichene, Noureddine.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:5:p:2134-2153.

    Full description at Econpapers || Download paper

43. Modelling dynamic storage function in commodity markets: Theory and evidence. (2008). Pieroni, Luca ; Ricciarelli, Matteo .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:25:y:2008:i:5:p:1080-1092.

    Full description at Econpapers || Download paper

44. Modelling Electricity Prices with Forward Looking Capacity Constraints. (2008). Figueroa, Marcelo ; Cartea, Álvaro ; Geman, Helyette.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0802.

    Full description at Econpapers || Download paper

45. On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis. (2008). Turvey, Calum ; Power, Gabriel.
    In: 2008 Conference, April 21-22, 2008, St. Louis, Missouri.
    RePEc:ags:nccest:37608.

    Full description at Econpapers || Download paper

46. Integrating Multiple Commodities in a Model of Stochastic Price Dynamics. (2007). Prokopczuk, Marcel ; Paschke, Raphael.
    In: MPRA Paper.
    RePEc:pra:mprapa:5412.

    Full description at Econpapers || Download paper

47. Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model ( Revised in December 2007; Subsequently published in Quantitative Finance. ). (2007). Shiraya, Kenichiro ; Takahashi, Akihiko.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf113.

    Full description at Econpapers || Download paper

48. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives. (2006). Schwartz, Eduardo S. ; Trolle, Anders B..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12744.

    Full description at Econpapers || Download paper

49. Equilibrium Exhaustible Resource Price Dynamics. (2006). Titman, Sheridan ; Khoker, Zeigham ; Carlson, Murray.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12000.

    Full description at Econpapers || Download paper

50. Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology. (2005). Routledge, Bryan ; Casassus, Jaime ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11864.

    Full description at Econpapers || Download paper

Report date: 2025-09-21 06:26:25 || Missing content? Let us know