Derivative contracts have a finite life limited by their maturity. The construction of continuous
series, however, is crucial for academic and trading purposes. In this study, we analyze the …

This study examines price formation of the internationally traded salmon futures exchange.
Analyzing data from 2006 to 2015, the study identifies the co-integration relationship …

The recent financial crisis has accentuated the fact that extreme outcomes have been
overlooked and not dealt with adequately. While extreme value theories have existed for a …

This paper examines how the most prevalent stochastic properties of key metal futures
returns have been affected by the recent financial crisis using both mapped and unmapped …

We investigated the determinants of daily volatility for natural gas nearby-month futures
traded on the NYMEX within a GARCH framework augmented with market fundamentals …

This article proposes an empirical study of the Samuelson effect in electricity markets. Our
motivations are twofold. First, although the literature largely assesses the decreasing pattern …

This paper reviews extant research on commodity price dynamics and commodity derivative
pricing models. In the first half, we provide an overview of key characteristics of commodity …

There is a sizeable literature that tests for weak-form efficiency in commodity and energy
spot and future prices. While many studies now allow for multiple structural breaks to …

This study examines novel momentum strategies in commodities futures markets that
incorporate term-structure information. We show that momentum strategies that invest in …

This paper investigates the role of futures markets and their dynamic effects on the stability
of commodity prices. The analysis is based on combining two econometric approaches: a …