Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

By J. Casassus, Pierre Collin-Dufresne. 2005

421 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bb6e59aafb449667bdaaaea428720ff3356dcd17

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Citations in the corpus

An Anatomy of Commodity Futures Risk Premia (2014, neutral): “Markets where hedgers are net short (long) are found to have positive (negative) expected futures returns (Carter, Rausser, and Schmitz (1983), Chang (1985), Bessembinder (1992), and de Roon, Nijman, and Veld (2000)).”
Oil price dynamics (2002-2006) (2008, positive): “…Stochastic modeling of commodity prices, including oil prices, for pricing derivatives (futures and options) has been presented in numerous papers: Casassus and Collin-Dufresne (2005), Carmona and Ludkovski (2005), Schwartz and Smith (2000), Schwartz (1997), Pindyck (2002), Postali and Picchetti…”
Modelling and Measuring Price Discovery in Commodity Markets (2010, positive): “…is the first time this has been formally considered in this literature.1 Independent of the value of β2, this paper shows that the proposed equilibrium model not only implies cointegration; but it leads into an economically meaningful Error Correction Representation (see Engle and Granger, 1987).”
Can oil prices help estimate commodity futures prices? The cases of copper and silver (2010, background): “where L is a matrix that relates the market price of risk to the state variables, like in Casassus and Collin-Dufresne (2005), and the model can still be solved.”
The Financialization of Commodity Markets (2014, background): “The other practice is to treat hedgers’ hedging demand as exogenous and fixed.”
The dynamics of commodity prices (2013, positive): “Casassus and Collin-Dufresne (2005) mainly study the nature of risk premia in four different commodity markets; they also allow for the possibility of discontinuous price jumps, which Aiube et al. (2008) conclude are important in the crude oil market.”
Investment Shocks and the Commodity Basis Spread (2011, background): “(10) Second, I regress the portfolio average excess returns (E[Re j,t]) on its risk exposure (βj) in the cross section of portfolios as E[R j,t] = a+ λ βj + ej .”
TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012, background): “d energy derivatives markets and modeling). Mean reversion in commodities markets is well documented in numerous empirical studies in the literature (e.g., Bessembinder et al. (1995), Pindyck (2001), Casassus and Collin-Dufresne (2005)). To capture the mean reversion property, the classical commodit”
An N‐factor Gaussian model of oil futures prices (2006, result): “…to any linear function of the state variables to reflect a possible correlation between spot prices, convenience yields, and interest rates (Casassus & Collin-Dufresne, 2005). order to compare the present model to traditional models found in the commodities literature, k1 has been…”
Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets (2008, neutral): “Proposition 2 Under dynamics (1), the moment generating function of the pair Sn ; Pn j=0 jSj given the information available at time 0 is given by: v0;x (n; ; ; ) = e 0( ; ; ; (4) where the function j ( ; ; ) satises the recursive equation: j ( ; ; ) = A ( ; j+1 ( ; ; )) + j ; (5) for j = n 1; n 2;”
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives (2009, methodology): “The sample period in Schwartz (1997) is January 2, 1990 to February 17, 1995 while the sample period in Casassus and Collin-Dufresne (2005) is January 2, 1990 to August 25, 2003.”