This paper analyzes the relation between commodity spot, forward prices, and convenience yield under incomplete markets. We model a maximization profit model of a firm that uses input commodities in order to produce output commodities while storing spot commodities and trading forward to hedge...

This paper studies commodity spot, forward, and futures prices under a continuous-time setting. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and trades forward or futures commodities to hedge. Through the...

We analyze the relationship between economic uncertainty and commodity market volatility. We find that commodity market volatility comoves strongly with economic and financial uncertainty, especially during recessions. Variables associated with credit risk, financial market stress, and...