dc.date.accessioned | 2021-03-26T21:36:07Z | |
dc.date.available | 2021-03-26T21:36:07Z | |
dc.date.created | 2021-02-02T23:43:46Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Benth, Fred Espen Eikeset, Anne Maria Levin, Simon A. Ren, Wanjuan . Analysis of the risk premium in the forward market for salmon. Journal of Commodity Markets. 2020, 1-13 | |
dc.identifier.uri | http://hdl.handle.net/10852/85009 | |
dc.description.abstract | We analyse forward prices observed at the Fishpool market, and propose a two-factor continuous-time stochastic process for modelling the time dynamics. The data analysis reveals that the two factors can be assumed to be a non-stationary compound Poisson process and a stationary continuous-time autoregressive dynamics, describing the bumps observed in the forward curves. We use the model to analyse the risk premium in the forward markets, and find a negative premium in the long end of the market which is in line with the theory of normal backwardation. However, contracts with short time to maturity have a risk premium with randomly changing sign, pointing towards a hedging pressure also induced by the demand-side of the market. | |
dc.language | EN | |
dc.title | Analysis of the risk premium in the forward market for salmon | |
dc.type | Journal article | |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Eikeset, Anne Maria | |
dc.creator.author | Levin, Simon A. | |
dc.creator.author | Ren, Wanjuan | |
cristin.unitcode | 185,15,13,0 | |
cristin.unitname | Matematisk institutt | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1886122 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Journal of Commodity Markets&rft.volume=&rft.spage=1&rft.date=2020 | |
dc.identifier.jtitle | Journal of Commodity Markets | |
dc.identifier.volume | 21 | |
dc.identifier.doi | https://doi.org/10.1016/j.jcomm.2019.100122 | |
dc.identifier.urn | URN:NBN:no-87701 | |
dc.type.document | Tidsskriftartikkel | |
dc.source.issn | 2405-8513 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/85009/2/salmon_futures_submit-JCOMM.pdf | |
dc.type.version | SubmittedVersion | |
cristin.articleid | 100122 | |
dc.relation.project | NORDFORSK/GreenMAR | |