choose among several grades of the underlying commodity. On the delivery day, the futures price converges to the spot price … price risk, the firm will under-hedge its exposure to commodity price risk. If delivery risk is multiplicatively related to … commodity price risk, the firm will under- or over-hedge this exposure. For constant relative risk aversion, this is illustrated …

that account for demand shifts. The intent is to provide an historical, objective context for new price and quantity …

price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The …-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the … find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we …