oil seeds and crude vegetable oil are the raw materials used in vegetable oil producing industry. vegetable oil producing plants in iran are dependent on importing the material in a way that more than 90 percent of these materials are to be imported. soybean oil seed is the main oil seed utilized in the oil producing plants which is procured through importation from other countries. in the worl...

During the first quarter of 2002, the price of crude oil averaged $19.67 per barrel. Four years later, in the first quarter of 2006, the average price of oil had risen to $63 per barrel. Indeed, the high price of oil may not be a short-lived phenomenon: Futures markets indicate that investors expect the price of oil to remain above $70 per barrel through 2008. For the postwar U.S. economy, the ...

Functional Principal Component Analysis (FPCA) provides a powerful and natural way to model functional financial data sets (such as collections of time-indexed futures and interest rate yield curves). However, FPCA assumes each sample curve is drawn from an independent and identical distribution. This assumption is axiomatically inconsistent with financial data; rather, samples are often interl...

This article proposes a functional dynamic factor model for the evaluation of the impact of scalar– and curve–valued factors on the shapes of intraday price curves. The asymptotic theory leads to practically useful confidence intervals for the factor coefficients. The main findings pertain to the impact of the shapes of intraday oil futures on the shapes of intraday prices of blue chip stocks. ...

The authors found that, concurrent with the rapidly growing index investment in commodity markets since the early 2000s, prices of non-energy commodity futures in the United States have become increasingly correlated with oil prices; this trend has been significantly more pronounced for commodities in two popular commodity indices. This finding reflects the financialization of the commodity mar...

The article examines whether commodity risk is priced in the cross-section of equity returns. Alongside a long-only equally-weighted portfolio of commodity futures, we employ as an alternative commodity risk factor a term structure portfolio that captures the propensity of commodity futures markets to be backwardated or contangoed. Equity-sorted portfolios with greater sensitivities to the two ...

Oil producers are going through a hard period. They have a number of real options at their disposal. This paper addresses the valuation of two of them: the option to delay investment and the option to abandon a producing field. A prerequisite for this is to determine the value of a producing well. For this purpose we draw on a stochastic model of oil price with three risk factors: spot price, l...

This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three-factor model with one state variable driving the volatility and is maximal among all such models that are also identifiable. The model leads to quasianalytical formulas for futures and options prices. It allows for time-varyin...