✦ LIBER ✦

An empirical analysis of commodity pricing

✍ Scribed by Richard Heaney

Publisher: John Wiley and Sons
Year: 2006
Tongue: English
Weight: 381 KB
Volume: 26
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20202

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Commodity pricing models generally explain the link between commodity prices and stock levels in terms of a stock‐out constraint or a convenience yield. Analysis of this link is provided using monthly London Metals Exchange copper, lead, and zinc prices obtained for the period November 1964 to December 2003. A Markov model, fitted to these data, supports the existence of two distinct pricing regimes while the impact of convenience yields is also identified. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:391–415, 2006

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