We investigate the relationship between volatility and volume in five energy commodity futures contracts traded at the NYMEX for the period 1992 to 2006. We find that conditional volatility shows a high response to large information shocks and exhibits a great sensitivity to total expected and...

This paper develops an empirical cost of carry model for pricing crude oil futures by introducing an exogenously conditioned convenience yield as well as stochastic volatility. The approach is tested using monthly prices of all light crude oil futures contracts traded on the New York Mercantile...

This paper develops an empirical cost of carry model with endogenously conditioned convenience yield. The approach is implemented using monthly prices of all futures contracts traded at the New York Mercantile Exchange between 1985 and 2006. Tests indicate that the model fits the data extremely...