We investigate the maturity-structure of roll strategy returns in the energy futures markets. Our innovation is to report and analyze the risk/return profile, the Sharpe ratio, and the asset pricing loadings of rollover strategies based on futures contracts of the same underlying commodity but...

Using multiple econometrics methods, this paper examines the cointegration and causality relationships between the futures prices of gasoline and the spot prices of two major types of crude oil (i.e. WTI and Brent). The existence of cointegration between prices in adjacent markets, crude oil...

This paper examines the integration between the prices of different types of physical (upstream/end-use) and futures contracts of natural gas in the US for the period of June 1990-Dec 2014. To examine the equilibrium relationship between physical and futures prices, several cointegration tests,...

This paper contributes to the theories commodity prices and exhaustible resources by examining simultaneous optimal resource extraction and dynamic capacity building. I analyze the ways in which random demand process and irreversible capacity options shape the long-term price and volatility path...