Calendar spreads in commodity future markets, risk premium and the convenience yield
Pierre Six and
Additional contact information
Pierre Six: Pôle Finance Responsable - Rouen Business School - Rouen Business School
Post-Print from HAL
This paper studies calendar spreads in commodity futures markets while taking into account a stochastic convenience yield. We show that a convenience yield imperfectly correlated with the spot commmodity price results in an optimal strategy composed of two commodity futures contracts. These strategies reveal a calendar spread effect through the positive correlation between the two futures contracts. These strategies can easily be computed and analyzed under the Samuelson hypothesis.
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00740067
References: Add references at CitEc
Citations: Track citations by RSS feed
Published in Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2011, p.16
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00740067
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().