The exploration of the mean-reversion of commodity prices is important for inventory management, inflation forecasting and contingent claim pricing. Bessembinder <italic>et al.</italic> [<italic>J</italic>. <italic>Finance</italic>, 1995, <bold>50</bold>, 361--375] document the mean-reversion of commodity spot prices using futures term structure data;...

In this paper, we empirically investigate warrant price behaviour in the Chinese market—the largest warrant market in the world in terms of trading volume since 2006. By examining warrant return properties, volatility behaviour and pricing errors, we document a stylized fact that call warrants...

In this paper, we examine the role that the Dalian Commodity Exchange (DCE) plays in the global price discovery of soybean futures. We employ Structural Vector Autoregressive and Vector Error Correction models on the returns of the DCE and the Chicago Board of Trade (CBOT) soybean futures during...

Commodity futures prices are usually modelled using affine term structure spot price models with latent factors extracted from the data. However, very little research to date has considered the question -- What are the economic drivers behind the calibrated latent factors? This paper addresses...