A model on the spot-futures no-arbitrage relations in commodity markets

René Aïd, Luciano Campi and Delphine Lautier
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René Aïd: LEDa - Laboratoire d'Economie de Dauphine - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres
Luciano Campi: LSE - Department of Statistics - London School of Economics - LSE - London School of Economics and Political Science
Delphine Lautier: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Keywords: Futures contracts; no-arbitrage relation; commodity; production; storage; energy (search for similar items in EconPapers)
Date: 2019
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Published in Handbook of Applied Econometrics: Financial Mathematics, Volatility and Covariance Modelling, 2019

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02119929

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