Risk premia and seasonality in commodity futures
| Autor: | Constantino Hevia, Ivan Petrella, Martin Sola |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
050208 finance Theory of storage Risk premium Normal backwardation 05 social sciences Cost of carry Seasonality medicine.disease Heating oil 0502 economics and business Econometrics medicine Economics Yield curve 050207 economics Futures contract Social Sciences (miscellaneous) |
| Zdroj: | Journal of Applied Econometrics. 33:853-873 |
| ISSN: | 0883-7252 |
| Popis: | 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 suer 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. |
| Databáze: | OpenAIRE |
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