publication . Article . 2012

Seasonality in cocoa spot and forward markets: empirical evidence

Sarfo, S.; Geman, Hélyette;
Open Access English
  • Published: 01 Jan 2012
  • Publisher: Academic Journals
  • Country: United Kingdom
Abstract
This paper first describes the main features of supply and demand in cocoa spot markets. A state- variable model is proposed to describe the random evolution of cocoa forward curves over time, which essentially adapts to agricultural commodities, introduced by Borovkova and Geman (2006) for energy. In contrast to most of the literature on the subject, the first state variable is not the spot price, as it combines seasonal and stochastic features and may not be observable, instead, the average value of all liquid futures contracts is a quantity devoid of seasonality and conveys a robust representation of the forward curve level. The second state variable is a qua...
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free text keywords: ems
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