, futures prices of different commodities in the US became increasingly correlated with each other and this trend was …

This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy …, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased … and/or (2) accurate predictor of subsequent spot prices. While energy futures prices are generally unbiased predictors of …

correlated with prices and inventory signals, but we reject the Keynesian "hedging pressure" hypothesis that these positions are …

stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …-analytical prices of options on futures and futures curve dynamics in terms of a low-dimensional affine state vector. The model performs …

class is a bet on the future term structure of commodity prices, in general, and on specific portfolio weighting schemes, in … of futures prices. We find that the tactical strategies provide higher average returns and lower risk than a long …

example of the failure of prices to reflect fundamentals. This paper reexamines the relation between FCOJ futures returns and … close to or below freezing, there is a close link between FCOJ prices and that fundamental. Using a simple, theoretically … and their relation to prices are more complex …

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased … sharply and many commodity prices rose and became more volatile. Using a large panel dataset we constructed, which includes …