This paper considers four competing propositions to explain the convex relationship between inventories and the risk-adjusted spread called the 'Working curve': the convenience yield, the risk premium, data aggregation and the imbedded options value inherent to a futures contract. We use 70...

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. In implementing this idea we compare three models for current scarcity, based on inventory levels, the spot...

An exploratory estimation of ARFIMA(p,d,q) models on agricultural spot and futures markets showed us that the estimated d is quite sensitive to the number of lags included in the short-term dynamics. AIC and SIC agreed there were many lags but, familiarly, disagreed on how many. To address this...

Generalizing Cooper-Kaplanis (1994), we estimate implied costs that reconcile international portfolios with InCAPM predictions. Costs depend on home- and host-country characteristics and on interactions; we estimate risk tolerance rather than pre-specifying it; and we control for currency risk,...