In this paper we present an equilibrium model of commodity spot (St) and future (Ft) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modeling endogenously the convenience yield, our theoretical model is able to capture the existence of...

It is well-known that if the forcing variable of a present value (PV) model is an integrated process, then the model will give rise to a particular cointegrating restriction. In this paper we demonstrate that if the PV relation is exact, such that no additive error term appears in the...

We define the extreme values of any random sample of size n from a distribution function F as the observations exceeding a threshold and following a type of generalized Pareto distribution (GPD) involving the tail index of F. The threshold is the order statistic that minimizes a...