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- W3123553154 abstract "We develop and estimate a multifactor a¢ ne model of commodity futures that allows for stochastic variations in seasonality. We show conditions under which the yield curve and the cost-of-carry curve adopt augmented Nelson and Siegel functional forms. This restricted version of the model is parsimonious, does not su¤er from identi?cation problems, and matches well the yield curve and futures curve over time. We estimate the model using heating oil futures prices over the period 1984-2012. We ?nd strong evidence of stochastic seasonality in the data.We analyze risk premia in futures markets and discuss two traditional theories of commodity futures: the theory of storage and the theory of normal backwardation. The data strongly support the theory of storage." @default.
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- W3123553154 date "2016-04-15" @default.
- W3123553154 modified "2023-10-18" @default.
- W3123553154 title "Risk Premia and Seasonality in Commodity Futures" @default.
- W3123553154 hasPublicationYear "2016" @default.
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