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Original Articles

Are commodity prices mean reverting?

Pages 769-783 | Published online: 26 Jun 2007

Keep up to date with the latest research on this topic with citation updates for this article.

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K. Jo Min, Laura Lilienkamp, John Jackman & Chung-Hsiao Wang. (2020) Supply contracts for critical and strategic materials of high volatility and their ramifications for supply chains. The Engineering Economist 65:4, pages 266-287.
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Cathy W.S. Chen & Sangyeol Lee. (2016) A local unit root test in mean for financial time series. Journal of Statistical Computation and Simulation 86:4, pages 788-806.
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S.R. Jeffrey, S. Koeckhoven, D. Trautman, B. Dollevoet, J.R. Unterschultz & C. Ross. (2014) Economics of riparian beneficial management practices for improved water quality: A representative farm analysis in the Canadian Prairie region. Canadian Water Resources Journal / Revue canadienne des ressources hydriques 39:4, pages 449-461.
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Sebastian Jaimungal, Max O. de Souza & Jorge P. Zubelli. (2013) Real option pricing with mean-reverting investment and project value. The European Journal of Finance 19:7-8, pages 625-644.
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Henry Dannenberg & Wilfried Ehrenfeld. (2011) Stochastic income statement planning as a basis for risk assessment in the context of emissions trading. Greenhouse Gas Measurement and Management 1:1, pages 64-72.
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Articles from other publishers (22)

Christian Mandl & Stefan Minner. (2023) Data-Driven Optimization for Commodity Procurement Under Price Uncertainty. Manufacturing & Service Operations Management 25:2, pages 371-390.
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Benno Guenther & Grace Lordan. (2023) When the disposition effect proves to be rational: Experimental evidence from professional traders. Frontiers in Psychology 14.
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Ajay Gupta, Eric Williams & Gabrielle Gaustad. (2022) The effect of time-intervals in characterizing price-related uncertainties in techno-economic analysis. Journal of Cleaner Production 380, pages 134929.
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Lawrence Madziwa, Mallikarjun Pillalamarry & Snehamoy Chatterjee. (2022) Gold price forecasting using multivariate stochastic model. Resources Policy 76, pages 102544.
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Adam Zaremba, Robert J. Bianchi & Mateusz Mikutowski. (2021) Long-run reversal in commodity returns: Insights from seven centuries of evidence. Journal of Banking & Finance 133, pages 106238.
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C. DollG. HauerF. QiuM. Luckert. (2021) Co-movement of prices between biofuel co-products in Canada: ethanol, electricity, and pellets. Canadian Journal of Forest Research 51:7, pages 1072-1079.
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Matias Marañon & Mustafa Kumral. (2019) Dynamics Behind Cycles and Co-movements in Metal Prices: An Empirical Study Using Band-Pass Filters. Natural Resources Research 29:3, pages 1487-1519.
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Hsin-Yu Chiu & Ting-Fu Chen. (2020) Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. The North American Journal of Economics and Finance 52, pages 101112.
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Alejandro Mac Cawley, Maximiliano Cubillos & Rodrigo Pascual. (2018) A real options approach for joint overhaul and replacement strategies with mean reverting prices. Annals of Operations Research 286:1-2, pages 303-324.
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Margaret Armstrong, Nicolas Langrené, Renato Petter, Wen Chen & Carlos Petter. (2019) Accounting for tailings dam failures in the valuation of mining projects. Resources Policy 63, pages 101461.
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Lorenzo Reus, Bernardo Pagnoncelli & Margaret Armstrong. (2019) Better management of production incidents in mining using multistage stochastic optimization. Resources Policy 63, pages 101404.
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Adam Zaremba & Jacob "Koby" ShemerAdam Zaremba & Jacob “Koby” Shemer. 2018. Price-Based Investment Strategies. Price-Based Investment Strategies 87 124 .
Komang Dharmawan. Pricing European options on agriculture commodity prices using mean-reversion model with jump diffusion. Pricing European options on agriculture commodity prices using mean-reversion model with jump diffusion.
Roger J.-B. Wets & Ignacio Rios. (2015) Modeling and estimating commodity prices: copper prices. Mathematics and Financial Economics 9:4, pages 247-270.
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Engelbert J. Dockner, Zehra Eksi & Margarethe Rammerstorfer. (2015) A Convenience Yield Approximation Model for Mean-Reverting Commodities. Journal of Futures Markets 35:7, pages 625-654.
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JANIS BACK & MARCEL PROKOPCZUK. (2013) COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW. International Journal of Theoretical and Applied Finance 16:06, pages 1350032.
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Henry Dannenberg & Wilfried Ehrenfeld. 2011. Emissions Trading. Emissions Trading 141 161 .
Adam Zaremba, Robert J. Bianchi & Mateusz Mikutowski. (2019) Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence. SSRN Electronic Journal.
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Mariano Mendez. (2012) Are Copper Prices Mean Reverting? A Practitioner's Point of View.. SSRN Electronic Journal.
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Janis Back & Marcel Prokopczuk. (2012) Commodity Price Dynamics and Derivatives Valuation: A Review. SSRN Electronic Journal.
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Wilfried Ehrenfeld & Henry Dannenberg. (2010) Stochastic Income Statement Planning and Emissions Trading. SSRN Electronic Journal.
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Udo Broll, Ephraim Clark & Elmar Lukas. (2008) Hedging Mean-Reverting Commodities. SSRN Electronic Journal.
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