Artículo
Risk premia and seasonality in commodity futures
Fecha de publicación:
09/2018
Editorial:
John Wiley & Sons Ltd
Revista:
Journal of Applied Econometrics
ISSN:
1099-1255
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
We develop and estimate a multifactor affine model of commodity futures that allows for stochastic seasonality. We document the existence of stochastic seasonal fluctuations in commodity futures and that properly accounting for the cost-of-carry curve requires at least three factors. We estimate the model using data on heating oil futures and analyze the contribution of the factors to risk premia. Correctly specifying seasonality as stochastic is important to avoid erroneously assigning those fluctuations to other risk factors. We also estimate a nonlinear version of the model that imposes the zero lower bound on interest rates and find similar results.
Palabras clave:
COMMODITY FUTURES
,
SEASONALITY
,
COST-OF-CARRY
,
RISK PREMIUM
,
NELSON AND SIEGEL
Archivos asociados
Licencia
Identificadores
Colecciones
Articulos(SEDE CENTRAL)
Articulos de SEDE CENTRAL
Articulos de SEDE CENTRAL
Citación
Hevia, Constantino; Petrella, Ivan; Sola, Martin; Risk premia and seasonality in commodity futures; John Wiley & Sons Ltd; Journal of Applied Econometrics; 33; 6; 9-2018; 853-873
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