Well established and efficient agricultural commodity futures markets, are expected to perform the role of price discovery and risk management more effectively. The results of the Johansen's cointegration tests have shown that the spot and futures markets for the 12 agricultural commodities are...

Even though there were numerous plausible explanations for the oil-price rally that culminated in July of 2008, there remains much uncertainty on how much to ascribe this rally to speculation, given the lack of transparency in the global oil markets. Was there excessive speculation in the oil...

​We develop and estimate a multifactor affine model of commodity futures that allows for stochastic variations in seasonality. We show conditions under which the yield curve and the cost-of-carry curve adopt augmented Nelson and Siegel functional forms. This restricted version of the model is...