While Gorton and Rouwenhorst (2005) suggest using business cycle in tactical asset allocation with commodity futures, Jensen et al (2002) suggest using monetary policy in guiding the timing of investment. We investigate whether it is useful to watch both.We find that clever timing in asset...

We propose to use two futures contracts in hedging an agricultural commodity commitment to solve either the standard delta hedge or the roll-over issue. Most current literature on dual-hedge strategies is based on a structured model to reduce roll-over risk and is somehow difficult to apply for...

This paper proposes that, when modeling for the relation between the convenience yield and current scarcity, time to maturity and time to harvest should interact with current scarcity, i.e. the two should enter multiplicatively. In implementing this idea we also compare three models for current...

This paper revisits the asymmetric effect of the basis on commodity spot and futures price volatilities documented by Kogan, Livdan and Yaron (2008) and Lien and Yang (2008). Kogan et al. (2008) show both theoretically and empirically that, for a non-storable consumption good, the relationship...