Commodity prices tend to be volatile, and volatility itself varies over time. Changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of production: the opportunity cost of exercising the option to produce the commodity now rather than waiting for more price information. I examine the role of ...

We put forward Value-at-Risk models relevant for commodity traders who have long and short trading positions in commodity markets. In a 5-year out-of-sample study on aluminium, copper, nickel, Brent crude oil and WTI crude oil daily cash prices and cocoa nearby futures contracts, we assess the performance of the RiskMetrics, skewed Student APARCH and skewed student ARCH models. While the skewed...

This paper provides evidence that the two leading principal components in a panel of 23 commodity convenience yields have statistically and quantitatively important predictive power for inflation even after controlling for unemployment gap and oil prices. The results hold up in out-of-sample forecasts, across forecast horizons, and across G7 countries. The convenience yields also explain commod...

The project "Energy and Society," sponsored by the Swedish Secretariat for Futures Studies, has studied different indigenous energy sources as alternatives to imported oil in Sweden. One alternative is nuclear energy, antoer is renewable energy. Large uncertainties are associated with both alternatives today. The main characteristics of an energy policy for the rest of the century that does not...

We examine the effect of player-transfers entered into by football clubs owned, or financed, individuals who are key players in oil market on abnormal returns futures. In oil-financed clubs, sums expended buying frequently far exceeds amount received from selling player-transfer market. find that order to finance these deficits market, owners act opportunistically withholding supply, resulting ...