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Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model

Author

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  • Jason West

Abstract

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Suggested Citation

  • Jason West, 2011. "Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model," Discussion Papers in Finance finance:201107, Griffith University, Department of Accounting, Finance and Economics.
  • Handle: RePEc:gri:fpaper:finance:201107
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    File URL: https://www120.secure.griffith.edu.au/research/items/9f2277b8-6f35-a96a-9dff-ff741386db90/1/2011-07-long-dated-agricultural-futures-price-estimates-using-the-seasonal-nelson-siegel-model.pdf
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    Cited by:

    1. Niels S. Hansen & Asger Lunde, 2013. "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model," CREATES Research Papers 2013-36, Department of Economics and Business Economics, Aarhus University.

    More about this item

    Keywords

    Commodity prices; Nelson-Siegel function; Seasonality; Liquidity.;

    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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