The Dynamics of Commodity Spot and Futures Markets: A Primer
By Robert S. Pindyck. 2001
615 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/ffe6a51038b1cb29bb4833f09bcc07a2ee337695
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Lutz Kilian
- Ron Alquist
- Vadim Linetsky
- T. Skjerpen
- Grischa Perino
- Gianluca Fusai
- Christiane Baumeister
- Maximilian Willner
In Finance
- Lingfei Li
- Stein-Erik Fleten
- Vadim Linetsky
- Ron Alquist
- Maximilian Willner
- M. Hernandez
- Maximo Torero
- Ivar Wangensteen
In Renewable Energy, Sustainability and the Environment
- Lutz Kilian
- Ron Alquist
- T. Skjerpen
- Grischa Perino
- Maximilian Willner
- M. Hernandez
- Stein-Erik Fleten
- Vadim Linetsky
Citations in the corpus
- TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012, background): “ to commodity and 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 cl”
- Optimal investment strategies in decentralized renewable power generation under uncertainty (2007, background): “Similarly, Pindyck [8] claims that when considering long-term commodity related investments, a geometric Brownian motion description of the price will not lead to large errors.”
- Does oilrig activity react to oil price changes An empirical investigation (2004, background): “Moreover, Pindyck (2001) argues that the expected future spot price usually will exceed the futures price due to risk adjustment.”
- Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets (2008, positive): “For instance, Bessembinder et al. (1995) (cid:133)nd clear evidence of mean reversion across eleven commodity markets, pointing out strong patterns for agriculturals and crude oil (see also, Pindyck (2001)), and weak patterns for metals.”
- Examining the dynamic relationship between spot and future prices of agricultural commodities (2010, background): “Following Pindyck (2001), let denote the capitalized flow of marginal convenience yield over the period t to t+T. 1 , (1) Then, to avoid arbitrage opportunities, the following condition must hold: where is the futures price of a (agricultural) commodity at time t for delivery at t+T, is the spot…”