In this paper, we develop a continuous time factor model of commodity prices that allows for higher-order autoregressive and moving average components. We document the need for these components by analyzing the convenience yield's time series dynamics. The model we propose is analytically...

This article empirically investigates whether continuous time pricing models are able to help reveal mispriced commodity futures contracts. Mispricings are identified based on the difference between model and observed prices, using four different pricing models for four different commodity...

In this paper we develop a continuous time factor model of commodity prices that allows for higher order autoregression and moving average components. The need for these components is documented by analyzing the convenience yield's time series dynamics. Making use of the affine model structure,...

In this paper we develop a multi-factor model for the joint dynamics of related commodity spot prices in continuous time. We contribute to the existing literature by simultaneously considering various commodity markets in a single, consistent model. In an application we show the economic...

This paper empirically investigates whether continuous time spot price models are able to help to reveal mispriced commodity futures contracts. Mispricings are identified based on the difference between model and observed prices, using four different models for four different markets, namely the...

In this paper we develop a multi-factor model for the joint dynamics of related commodity spot prices in continuous time. We contribute to the existing literature by simultaneously considering various commodity markets in a single consistent model and show in an application the economic...