Short-Term Variations and Long-Term Dynamics in Commodity Prices

By Eduardo S. Schwartz, James E. Smith. 2000

1,183 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c298e5c8c477e3da8941173e6cb593f05230006c

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Citations in the corpus

Modeling and forecasting electricity prices with input/output hidden Markov models (2005, background): “Recently, Schwartz enounced in [11] a more complex version.”
Pricing Forward Contracts in Power Markets By the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium (2008, background): “In commodities markets, especially electricity models, the connection between the physical and risk-neutral measure is usually performed by introducing a correction in the drift of the physical process to reflect how market participants are compensated for bearing risk, see for example [11] [10] [5]”
Futures pricing in electricity markets based on stable CARMA spot models (2012, methodology): “To account for such long-term randomness in prices, Schwartz and Smith [35] include a second non-stationary factor being a drifted Brownian motion, possibly correlated with the short-term variations.”
The dynamics of commodity prices (2013, positive): “Sorensen (2002) and Manoliu and Tompaidis (2002) apply the model of Schwartz and Smith (2000) to the agricultural and natural gas futures markets, respectively.”
Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity (2007, positive): “For instance, although the subject matter was not the modeling of power prices but storable commodities, the work of Schwartz (1997) and Schwartz and Smith (2000) served as a platform for a number of articles that dealt with the valuation of electricity derivatives by proposing no-arbitrage models…”
The Dynamics of Commodity Spot and Futures Markets: A Primer (2001, background): “(1997) and Schwartz and Smith (2000) have specified and estimated that do just this: The equilibrium price level is assumed to follow a while short-term deviations from the equilibrium price are assumed to toward zero following an Omstein-Uhlenbeck process.” models to fit the data well, and help to…”
Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons (2015, background): “4For work on forecasting commodity prices (especially energy prices),s e also Schwartz (1997), Schwartz and Smith (2000), Pindyck (2001), Hamilton (2009), Alquist and Kilian (2010), Reeve and Vigfusson (2011), Bernard, Dufour, Khalaf and Kichian (2012), Baumeister and Kilian (2012), Baumeister and…”
Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2000, methodology): “We extend the one-factor models developed in the previous subsections by adding a second stochastic factor in the spirit of Schwartz and Smith (2000).”
Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem (2012, background): “Schwartz and Smith (2000) has proposed a way of dealing with this issue.”
European CO2 prices and carbon capture investments (2008, methodology): “t : 21See Schwartz and Smith [ 35 ]. 11”