West, Jason - In: The International Journal of Business and Finance Research 6 (2012) 4, pp. 33-44
This study advances the research on the convenience yield of bulk commodities with particular emphasis on thermal coal …. We extend the option model of Milonas and Thomadakis (1997) to estimate thermal coal convenience yields using forward … prices. We examine the business cycle of thermal coal in the presence of both demand and supply shocks and find that the …