Determinants of oil futures prices and convenience yields

DOI10.1080/14697688.2012.691202zbMATH Open1280.91168OpenAlexW2007216561MaRDI QIDQ5745644FDOQ5745644

Authors: E. A. Medova, Ke Tang, M. A. H. Dempster 

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.691202

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zbMATH Keywords

Kalman filterSVARtheory of storageoil futuresfutures term structuretheory of normal backwardation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Inventory, storage, reservoirs (90B05)

Cites Work

• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Hedging Pressure and Futures Price Movements in a General Equilibrium Model

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• Identifying the influential factors of commodity futures prices through a new text mining approach
• Forecasting crude oil prices: do technical indicators need economic constraints?
• Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
• Implied roughness in the term structure of oil market volatility
• Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
• Component structures of agricultural commodity futures traded on the Tokyo grain exchange
• Commodity spot and futures prices under supply, demand, and financial trading: single input-output model
• Title not available (Why is that?)
• Calibration of a multifactor model for the forward markets of several commodities
• Statistical causality for multivariate nonlinear time series via Gaussian process models
• Stochastic models for oil prices and the pricing of futures on oil

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