Fama, E. F. and K. R. French (1988) Business Cycles and the Behaviour of Metals Prices, Journal of Finance, Vol. 43, pp. 1077-1093. Home/Search Document Not in Database Summary Related Articles |
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The Valuation and Effectiveness of Long-Term Forward Contracts - Cavus, Paxson (1999) (Correct)
....of the behaviour of forward prices for most commodities and there is evidence that the convenience yield should be specified by a stochastic process. Fama and French (1987) provided evidence that the marginal convenience yield varies seasonally for most agricultural and animal products and Fama and French (1988) found evidence of a mean reverting process for the convenience yield of heating oil, copper, platinum, silver, and gold. Gibson and Schwartz (1990) and Brennan (1991) turn to a more realistic model where the instantaneous convenience yield is also 1 We appreciate the suggestions made by Elaine ....
Fama, E. F. and K. R. French (1988) Business Cycles and the Behaviour of Metals Prices, Journal of Finance, Vol. 43, pp. 1077-1093.
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