Further evidence on the relationship between spot and futures prices
Resources Policy, 2016, vol. 49, issue C, 368-371
Based on a theoretical model, Tiltonet al. (2011) concluded that spot and futures prices should be highly correlated during periods of strong contango and much less correlated during periods of weak contango and backwardation. More recently, Gulley and Tilton (2014) found empirical support of this hypothesis for copper data during the period of 1994–2011.
Keywords: Theory of storage; Interest-adjusted basis (search for similar items in EconPapers)
JEL-codes: Q02 L72 C13 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:49:y:2016:i:c:p:368-371
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