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A Term Structure Model For Agricultural Futures

Author

Listed:
  • Fackler, Paul L.
  • Roberts, Matthew C.

Abstract

An extension of Schwartz's model of futures price term structure that includes seasonality is developed. The approach allows futures prices for all maturities to be estimated simultaneously by exploiting arbitrage relationships. An application to wheat futures prices is presented.

Suggested Citation

  • Fackler, Paul L. & Roberts, Matthew C., 1999. "A Term Structure Model For Agricultural Futures," 1999 Annual meeting, August 8-11, Nashville, TN 21543, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  • Handle: RePEc:ags:aaea99:21543
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    File URL: http://purl.umn.edu/21543
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