Commodity spot and futures prices under supply, demand, and financial trading: single input-output model

DOI10.1007/S10690-019-09280-6MaRDI QIDQ2180273zbMATH OpenOpenAlexFDO

Authors Katsushi Nakajima

Publication date 13 May 2020

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-019-09280-6

zbMATH Keywords

productionstorageconvenience yieldcommodity pricesfutures price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 52448 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Commodity spot and futures prices under supply, demand, and financial trading: single input-output model
• Convex Analysis
• Microeconomic theory
• On the Behaviour of Commodity Prices

Cited in

(12)

• Convenience yields
• COMMODITY CONTENT IN A GENERAL INPUT-OUTPUT MODEL: A COMMENT
• Determinants of oil futures prices and convenience yields
• scientific article; zbMATH DE number 125842 (Why is no real title available?)
• An equilibrium model for spot and forward prices of commodities
• Modelling and measuring price discovery in commodity markets
• Futures trading and commodity spot market volatility: empirical evidence on selected commodities in Indian market
• Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework
• Commodity spot and futures prices under supply, demand, and financial trading: single input-output model
• Hedging pressure and speculation in commodity markets
• Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
• Commodities

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