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...