Interpolating commodity futures prices with Kriging

A Two-Factor Model for Commodity Prices and Futures Valuation∗

This paper develops a reduced form two-factor model for commodity spot prices and futures valuation. This model extends the Gibson and Schwartz (1990)-Schwartz (1997) two-factor model by adding two new features. First the Ornstein-Uhlenbeck process for the convenience yield is replaced by a Cox-Ingersoll-Ross (CIR) process. This ensures that our model is arbitrage-free. Second, spot price volat...

Effects of index-fund investing on commodity futures prices∗

The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices. This paper proposes a unifying framework for examining this question, noting that according to a simp...

Linkages among agricultural commodity futures prices: evidence from Tokyo

Malliaris and Urrutia (1996) use cointegration to analyse the prices of agricultural commodity futures contracts traded on the Chicago Board of Trade (CBOT). They ® nd a long-run relationship among US grown corn, wheat, oat, soybean, soybean meal and soybean oil futures prices and assert that this empirical ® nding is consistent with two alternative hypotheses. The ® rst is that common economic...

Portfolio Diversification with Commodity Futures: Properties of Levered Futures

Commodity Futures: A Japanese Perspective*

We study the basic properties of an equally weighted index of U.S. commodities futures from the perspective of a Japanese investor. We find that the returns on the U.S. equally-weighted commodity futures index maintain their basic properties documented in Gorton and Rousenhorst (2005), when translated into Yen. In particular, looking at returns on Japanese stocks and bonds, the commodity future...