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• W2168159153 abstract "Commodity future prices are explained either by price expectations and a risk premium in the theory of normal backwardation or with the theory of storage in a cost of carry valuation. Both approaches are compared in separate equations with Johansen cointegration tests. The data sample contains five LME metals with maturities of 3–27 months and real inventory data. It is found that expected spot prices explain only short maturity future prices. But the cost of carry approach, with the inventory level-dependent convenience yield, explains prices for all maturities." @default.
• W2168159153 created "2016-06-24" @default.
• W2168159153 creator A5027950419 @default.
• W2168159153 date "2015-03-01" @default.
• W2168159153 modified "2023-09-27" @default.
• W2168159153 title "Comparison of commodity future pricing approaches with cointegration techniques" @default.
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• W2168159153 doi "https://doi.org/10.1142/s2345768615500026" @default.
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