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Applied Financial Economics Volume 9, 1999 - Issue 1
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Original Articles

Convenience yield, mean reverting prices, and long memory in the petroleum market

A. MAZAHERI
Pages 31-50 | Published online: 07 Oct 2010

Citations (14)

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Read on this site (2)

Okan Aybar, Mehmet Huseyin Bilgin & Serda Selin Öztürk. (2020) Time dynamics of connectedness between commodity convenience yields and zero-coupon inflation swap rates. Investment Analysts Journal 49:4, pages 289-302.
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C.L. Dunis, Jason Laws & Ben Evans. (2006) Trading futures spreads: an application of correlation and threshold filters. Applied Financial Economics 16:12, pages 903-914.
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Articles from other publishers (12)

Gideon Bruce Arkorful, Haiqiang Chen, Ming Gu & Xiaoqun Liu. (2023) What can we learn from the convenience yield of Bitcoin? Evidence from the COVID-19 crisis. International Review of Economics & Finance 88, pages 141-153.
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David Coady, Javier Arze del Granado, Luc Eyraud & Anita Tuladhar. (2013) Automatic Fuel Pricing Mechanisms with Price Smoothing: Design, Implementation, and Fiscal Implications. Technical Notes and Manuals 12:03, pages 1.
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Derek M. Lemoine. (2010) Valuing Plug-In Hybrid Electric Vehicles' Battery Capacity Using a Real Options Framework. The Energy Journal 31:2.
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Jin-suo Zhang, Shao-hui Zou & Xin-min Shi. (2008) The two-factor model of evaluating mining rights of coal resources based on options. Journal of Coal Science and Engineering (China) 14:2, pages 321-325.
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Peter Berling. (2008) The capital cost of holding inventory with stochastically mean-reverting purchase price. European Journal of Operational Research 186:2, pages 620-636.
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Hidetaka Nakaoka. (2008) Option Valuation of Investment in Oil ^|^amp; Gas E ^|^amp; P Projectsunder Uncertainty of Recoverable Volume. Journal of Real Options and Strategy 1:0, pages 69-95.
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Delphine Lautier. (2005) Term Structure Models of Commodity Prices. The Journal of Alternative Investments 8:1, pages 42-64.
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G. Carcano, P. Falbo & S. Stefani. (2005) Speculative trading in mean reverting markets. European Journal of Operational Research 163:1, pages 132-144.
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Irina Khindanova, Zauresh Atakhanova & Svetlozar Rachev. 2004. Handbook of Computational and Numerical Methods in Finance. Handbook of Computational and Numerical Methods in Finance 71 110 .
Benedict F. W. Bingham, James Daniel & Giulio Federico. (2001) Domestic Petroleum Price Smoothing in Developing and Transition Countries. IMF Working Papers 01:75, pages 1.
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Derek Lemoine. (2009) Valuing Plug-In Hybrid Electric Vehicles' Battery Capacity Using a Real Options Framework. SSRN Electronic Journal.
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Brajesh Kumar, Priyanka Singh & Ajay Pandey. (2008) Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets. SSRN Electronic Journal.
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