We consider dynamic representation of spot and three month aluminium and copper volatilities. These are the two most important metals traded in the London Metal Exchange (LME). They share common business cycle factors and are traded under identical contract specifications. We apply the bivariate...

In this paper we present an equilibrium model of commodity spot (St) and future (Ft) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modeling endogenously the convenience yield, our theoretical model is able to capture the existence of...

The main objective of this work is to reflect the structural changes that have characterized the aluminium industry over the last few decades. I order to capture the changes in competition I have estimated cost and related it to output prices by illustrating the effect of the prevalent industry...

This paper uses an exclusive proprietary data set of European Credit Derivatives and VIX markets, covering a sample of 5 to 7 years, to study the nature of the theoretical link between credit risk and market risk, originally postulated in the work of Merton. This allows us to establish...