Equilibrium Forward Curves for Commodities

By Bryan R. Routledge, Duane J. Seppi, Chester Spatt. 2000

496 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/db7599faf75f303f01a4e1525dd2ac11fdc68751

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In Economics and Econometrics

Citations in the corpus

Electricity derivatives and risk management (2006, background): “[31,34,40,42,43] for forward prices and [44] for spark spreads.”
The Impact of Index and Swap Funds on Commodity Futures Markets: Preliminary Results (2010, background): “Specifically, Routledge, Seppi, and Spatt (2000) develop an equilibrium model of price behavior for a storable commodity where the spot commodity has an embedded timing option that is a function of endogenous inventory and exogenous supply and demand shocks.”
VOLATILITY AND COMMODITY PRICE DYNAMICS (2004, background): “See, for example, Williams and Wright (1991), Routledge, Seppi, and Spatt (2000) , and Schwartz and Smith (2000).”
The Dynamics of Commodity Spot and Futures Markets: A Primer (2001, background): “( for example, Routledge, Seppi, and Spatt (2000) and Williams and Wright ( principle, one could specify and estimate equations for demand and in the cash and storage models, and thereby forecast the effects of shocks, changes in the weather, or other shocks on the short-run of prices and other…”
Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000, background): “See, e.g., Pindyck (1993) and Routledge et al. (1999) for more complex models that explicitly consider storage decisions and their impact on spot and futures prices.”
What Do We Learn from the Price of Crude Oil Futures (2010, unknown): “The convenience yield is a commonly used modeling device (see, for example, Brennan, 1991; Fama and French, 1988; Gibson and Schwartz, 1990; Pindyck, 1994a; Routledge et al ., 2000; Schwartz, 1997).”
A FIRST LOOK AT THE EMPIRICAL RELATION BETWEEN SPOT AND FUTURES ELECTRICITY PRICES IN THE UNITED STATES (2003, background): “Using daily data for the years 1998 and 1999, we find that many of the characteristics of the electricity market can be viewed to be broadly consistent with efficient markets.”