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Università della Svizzera italiana

On the lease rate, the convenience yield and speculative effects in the gold futures market

Theal, John ; Barone Adesi, Giovanni (Dir.) ; Geman, Hélyette (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO005.

By examining the gold leasing market and employing data on the gold forward offered rate (GOFO) and derived lease rates, we propose that rather than using the interest-adjusted basis as a proxy for the convenience yield of gold, the convenience yield is better approximated by the derived gold lease rate. Additionally, using the interest-adjusted basis as opposed to the lease rate can lead to...

Università della Svizzera italiana

An empirical study of crude oil market

Roth, Yana ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2008 ; 2008ECO004.

In this thesis I have tried to identify the risks and opportunities crude oil market offers. For this purpose I tested the performance of univariate and multivariate GARCH models. The first part of the work describes univariate GARCH models and their application to commodities markets. Physical ownership of the commodity carries an associated flow of services. The net flow of these services per...

2 results 1