• Out-of-Stock

Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield [extrait BMI 112]

Author :
€50.00
Tax included
Quantity
Add to wishlist
Out-of-Stock

Version numérique PDF

This paper studies calendar spreads in commodity futures markets while taking into account a stochastic convenience yield. We show that a convenience yield imperfectly correlated with the spot commmodity price results in an optimal strategy composed of two commodity futures contracts. These strategies reveal a calendar spread effect through the positive correlation between the two futures contracts. These strategies can easily be computed and analyzed under the Samuelson hypothesis.

Auteurs :Attaoui Sami , Mellios Constantin
Extrait de la revue BMI 112

BMI112-1103131
New

16 other products in the same category:

Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

Articles

  • Comparing the Value Relevance of Earnings and Book Value in IFRS and GAAP Standards
  • Credit Risk Evaluation: The Econometric vs the Structural Approach
  • The Fund Synthetic Index: An Alternative Benchmark for Mutual Funds
  • Corporate Governance and Performance of French Listed Companies

Focus On

  • Symmetric vs. Downside Risk Measures in Portfolio Decisions
Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

Articles

  • SME Reliance on Bank Debt in France
  • Real Estate Brokers: Do they Infl ate Housing Prices?
  • Capital Structure Determinants and Convergence

Focus On

  • Bank Transparency: a Microeconomic and Macroeconomic Assessment

  • How do oil prices affect stock returns in GCC markets? An asymmetric cointegration approach
This website uses cookies to ensure you get the best experience on our website