We employ a large dataset of physical inventory data on 21 different commodities for the period 1993-2011 to empirically analyze the behaviour of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between...

The estimation of risk at extreme levels of significance (such as 0.1%) can be crucial to capture the losses during market downturns, such as the global financial crisis and the COVID-19 market crash. For many existing models, it is challenging to estimate risk at extreme levels of significance....

In this paper we introduce a new two-factor commodity term structure model for which inventories serve as a second state variable. We derive a closed-form formula for futures prices and empirically analyze the model's properties. Besides being economically appealing, our model also outperforms...