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An empirical analysis of commodity pricing
Author(s) -
Heaney Richard
Publication year - 2006
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20202
Subject(s) - economics , commodity , econometrics , financial economics , markov chain , stock (firearms) , stock exchange , mathematics , statistics , finance , engineering , mechanical engineering
Commodity pricing models generally explain the link between commodity prices and stock levels in terms of a stock‐out constraint or a convenience yield. Analysis of this link is provided using monthly London Metals Exchange copper, lead, and zinc prices obtained for the period November 1964 to December 2003. A Markov model, fitted to these data, supports the existence of two distinct pricing regimes while the impact of convenience yields is also identified. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:391–415, 2006