servations of the term structures of futures prices over time. The continuous time

dynamics of (log-) commodity prices are modeled as a sum of a deterministic sea-

sonal component, a non-stationary state-variable, and a stationary state-variable.

Futures prices are established by standard no-arbitrage arguments and the Kalman

lter methodology is used to estimate the model parameters for corn futures, soy-

bean futures, and wheat futures based on weekly data from the Chicago Board of

Trade for the period 1972-1997. Furthermore, in a discussion of the estimated sea-

sonal patterns in agricultural commodity prices, we provide empirical evidence on

the theory of storage that predicts a negative relationship between stocks of inven-

tory and convenience yields; in particular, convenience yields used in this analysis

are extracted using the Kalman lter.

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Paper provided by Copenhagen Business School, Department of Finance in its series Working Papers with number 1999-14.

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Length: 39 pages
Date of creation: 01 Dec 1999
Date of revision:
Handle: RePEc:hhs:cbsfin:1999_014

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Keywords: Asset Pricing;

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G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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