Short-Term Variations and Long-Term Dynamics in Commodity Prices

Abstract

Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: We adopt Schwartz and Smith's model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna's model (2012) to calculate risk measures of natural gas futures contracts, gasoil futures contracts, heating oil futures contracts, RBOB gasoline futures contracts, PJM western hub peak and off-peak electricity futures contracts. We show that the models present well goodness of fit and explain two stylized facts of the data: the Samuelson effect and the seasonality effect. Our backtesting results demonstrate that the models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method possessing quick convergence is developed. JEL classifications: C58; G13; G32

Co-integration for Soft Commodities with Non Constant Volatility

“…As these processes are not independent, they can be represented in the form = col[ , ] = H(t).E(t,.) (6) where E(t,.) = col[      is a N-vector of independent random variables with a distribution N(0, 1) and H(t) = Tab[ i,j (t)] a lower triangular matrix with  i,j (t) = 0 for j >i, and normalization  j ( i,j ) 2 = 1,the coefficients of which are determined by calculation of covariance between the various components of .…”

“…This can lead to drastically overestimate Value-at-Risk and excessive capital requirements. Here to analyze this point, two main objectives are looked for: first one is to check improvement nature in Larsson-Nossman model [6] by when specifying non-constant volatility into the parameters. The second one is to apply this model to soft commodities in order to show that the model is generic [7].…”

Risk Management in Energy Markets

“…In our modeling of TSOV, we are informed by the Schwartz (1997) one-andSchwartz andSmith (2000) two-factor models of spot commodity prices as shown in the Table 3.2. …”

“…Once TSOV was modeled we used We start with SDE for forward contracts under the historical measure (see Schwartz and Smith, 2000) dF t F t = e −κτ λ s σ + λ l σξ dt + e −κτ σdz s + σξdz l where subscript s (l) refers to short-term (long-term) factor parameters. Discretizing we have…”

Processos estocásticos dos preços das commodities: uma abordagem através do filtro de partículas

“…Os modelos de dois e três fatores apresentam desempenhos equivalentes e o autor observa que a taxa de juros como um fator estocástico agrega pouca informação. Schwartz e Smith (2000) propuseram um modelo de dois fatores à semelhança de trabalhos anteriores do primeiro autor. Neste modelo o logaritmo do preço à vista é decomposto como a soma de duas parcelas que são as variações de curto prazo e o preço de equilíbrio.…”