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Modelling the commodity prices in the OECD countries: a stochastic approach

✍ Scribed by E.A. Selvanathan; S. Selvanathan

Book ID
117434572
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
194 KB
Volume
21
Category
Article
ISSN
0264-9993

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A multicommodity model of futures prices
A multicommodity model of futures prices: Using futures prices of one commodity to estimate the stochastic process of another
✍ Gonzalo Cortazar; Carlos Milla; Felipe Severino πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 961 KB

## Abstract This article proposes a multicommodity model of futures prices of more than one commodity that allows the use of long‐maturity futures prices available for one commodity to estimate futures prices for the other. The model considers that commodity prices have common and commodity‐specifi