Economics at your fingertips  

Investing in commodity futures markets: can pricing models help?

Raphael Paschke and Marcel Prokopczuk ()

The European Journal of Finance, 2012, vol. 18, issue 1, 59-87

Abstract: This article empirically investigates whether continuous time pricing models are able to help reveal mispriced commodity futures contracts. Mispricings are identified based on the difference between model and observed prices, using four different pricing models for four different commodity markets, namely crude oil, copper, silver, and gold. Pricing errors are found to carry informational content for future price movements in excess of the overall market. Investment strategies based on these pricing errors yield significant excess returns, particularly for the relatively small copper and silver markets.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

DOI: 10.1080/1351847X.2011.601658

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2021-10-18
Handle: RePEc:taf:eurjfi:v:18:y:2012:i:1:p:59-87