This paper provides a selected review of the research literature on commodity futures and
options markets, focusing primarily on empirical studies. The topics featured include the …

Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

A recent article in this journal [Quan (1992, p. 144)] concludes that,"... the spot [crude oil]
market always leads the futures market and the crude oil futures market does not play an …

This article analyzes recent volatility spillovers in the United States from crude oil using
futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in …

This article examines the price discovery performance of futures markets for storable and
nonstorable commodities in the long run, allowing for the compounding factor of stochastic …

We use a no-arbitrage, cost-of-carry asset pricing model to show that the existence of
cointegration between spot and forward (futures) prices depends on the time-series …

Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures
Prices Page 1 Cointegration and Error Correction Models: Intertemporal Causality between …

Cointegration is a time-series modelling methodology that has many applications to financial
markets. When spreads are mean reverting, prices are cointegrated. Then a multivariate …

An often-cited, major role of futures markets is their contribution to price discovery [Working
(1960, 1970); Garbade and Silber (1983)]. Price discovery in futures markets refers to the …

The hypothesis that futures prices are unbiased predictors of spot prices is a joint hypothesis
that markets are efficient and risk premia are absent. Rejection of unbiasedness could be …