Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model
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Bibliographic InfoPaper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Finance with number finance:201107.
Date of creation: Jul 2011
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Commodity prices; Nelson-Siegel function; Seasonality; Liquidity.;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Niels S. Hansen & Asger Lunde, 2013. "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model," CREATES Research Papers 2013-36, School of Economics and Management, University of Aarhus.
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