Previous studies on freight rate dynamics have explored the behavior of freight rates and
their characteristics, including unit root, among other factors. However, there are few articles …

We investigate the importance of time-varying discount rates for commodity prices using an
index based on twenty-three commodities for the period 1959–2024. We show that in …

This paper derives the seasonal factors from the US temperature, gasoline price, and fresh
food price data sets using the Kalman state smoother and the principal component analysis …

In this paper, we first provide an empirical evidence of the existence of intraday jumps in the
crude oil price series. We then show that these jumps, in conjunction with realized volatility …

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 …

This paper attempts to model the futures term structures of crude oil and natural gas using
the notion of convenience yield in a regime switching framework. Unlike the existing studies …

In this study, we investigate the determinants of convenience yields across a broad range of
commodities. We find that the convenience yields of commodities are exposed to both …

In this paper we investigate energy futures contracts and the presence of a type of
seasonality, that has been given very little to no attention in the literature—-we call it trading …

This paper extends the existing literature on commodity derivatives to account for an
unobservable stochastic convenience yield. Investors operate in an economy with …

Globalisation and financial liberalisation have made financial markets more correlated and
connected. In this context, it has become extremely important to understand the …