In this paper, we examine the temporal stability of the evidence for two commodity futures pricing theories. We investigate whether the forecast power of commodity futures can be attributed to the extent to which they exhibit seasonality and we also consider whether there are time varying...

This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a forty year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values – estimated...

In this study, we investigate the determinants of convenience yields across a broad range of commodities. We find that the convenience yields of commodities are exposed to both commodity-specific and systematic factors, but to a different extent. The difference in explanatory power of these...

In this study, we investigate the determinants of convenience yields across a broad range of commodities. We find that the convenience yields of commodities are exposed to both commodity-specific and systematic factors, but to a different extent. The difference in explanatory power of these...

In this study, we investigate the determinants of convenience yields across a broad range of commodities. We find that the convenience yields of commodities are exposed to both commodity-specific and systematic factors, but to a different extent. The difference in explanatory power of these...

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...

This paper reviews extant research on commodity price dynamics and commodity derivatives pricing models. In the first half, we provide an overview of stylized facts of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half,...