An empirical analysis of commodity pricing
Commodity pricing models generally explain the link between commodity prices and stock levels in terms of a stock‐out constraint or a convenience yield. Analysis of this link is provided using monthly London Metals Exchange copper, lead, and zinc prices obtained for the period November 1964 to December 2003. A Markov model, fitted to these data, supports the existence of two distinct pricing regimes while the impact of convenience yields is also identified. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:391–415, 2006
Year of publication: |
2006
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Authors: | Heaney, Richard |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 26.2006, 4, p. 391-415
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Publisher: |
John Wiley & Sons, Ltd. |
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