Price spread and convenience yield behaviour in the international oil market

Applied Financial Economics

Volumn 11, Issue 1, 2001, Pages 23-36

  Milonas, N T ^a   Henker, T ^a  

^a UNIVERSITY OF ATHENS   (Greece)

Author keywords

[No Author keywords available]

Indexed keywords

COMMODITY MARKET; OIL INDUSTRY; PRICE DYNAMICS;

EID: 0035121988     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100150210237     Document Type: Article

References (23)

1. Asset pricing and dual listing on foreign capital markets: A note
2. Some determinants of the volatility of futures prices
3. The supply of storage
4. The volatility and efficiency of crude oil futures contracts
5. Stable distributions, futures prices, and the measurement of trading performance: A comment
6. T-bond futures deliveries and the 'wild card'
7. Commodity futures prices: Some evidence on forecast power, premiums and the theory of storage
8. On the estimation of security price volatilities from historical data
9. Stochastic convenience yield and the pricing of oil contingent claims
10. The distribution of futures prices: A test of the stable paretian and mixture of normals hypotheses
11. Commodity convenience yields as an option profit
12. Factors affecting agricultural futures price variance
13. Forecasting efficiency of energy futures prices
14. Price variability and the maturity effect in futures markets
15. Convenience yields as call options: And empirical analysis
16. Convenience yield and the option to liquidate for commodities with crop cycle
17. Sources of nonstationarity in cash and futures prices
18. Proof that properly anticipated prices fluctuate randomly
19. Futures trading and the storage of cotton and wheat
20. Theory of the inverse carrying charge in futures markets