This work discusses potential pitfalls of applying linear regression models for explaining the relationship between spot and futures prices in electricity markets, in particular, the bias coming from the simultaneity problem, the effect of correlated measurement errors and the impact of...

This paper contributes to the commodity pricing literature by consistently modeling the convenience yield with its empirically observed properties. Specifically, in this paper, we show how a four-factor model for the stochastic behavior of commodity prices, with two long- and short-term factors...