Filler, Günther; Volkenand, Steffen; Odening, Martin - Gesellschaft für Wirtschafts- und Sozialwissenschaften … - 2013
We analyze the speed of mean reversion (k) in the convenience yield and the spot price volatility for 7 US commodities between 1989-2012. In the hog market k is large, soybeans exhibit the lowest values. While for 5 of 7 commodities κ is lower in the more recent period (2005-2012) than in the...