An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield
Christian-Oliver Ewald and
Ruolan Ouyang
Marine Resource Economics, 2017, vol. 32, issue 4, 431 - 449
Abstract:
On the basis of a popular two-factor approach applied in commodity markets, we develop a model featuring seasonality and study futures contracts written on fresh farmed salmon, which have been actively traded at the Fish Pool market in Norway since 2006. The model is estimated by means of Kalman filtering, using a rich data set of contracts with different maturities traded at Fish Pool between 01/01/2010 and 24/04/2014. The results are then discussed in the context of other commodity markets, specifically live cattle, which is a substitute. We show that the seasonally adjusted model proposed in this article describes the behavior of salmon price very well. More importantly we show that seasonality exists in the salmon futures market. This is highly important in pricing of contingent claims, designing hedging strategies, and making real investment decisions in marine resources.
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (4)
Downloads: (external link)
http://dx.doi.org/10.1086/693375 (application/pdf)
http://dx.doi.org/10.1086/693375 (text/html)
Access to the online full text or PDF requires a subscription.
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: https://EconPapers.repec.org/RePEc:ucp:mresec:doi:10.1086/693375
Access Statistics for this article
More articles in Marine Resource Economics from University of Chicago Press
Bibliographic data for series maintained by Journals Division (pubtech@press.uchicago.edu).