| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11169 |
| DP11169 Risk Premia and Seasonality in Commodity Futures | |
| Ivan Petrella; Martin Sola; Constantino Hevia | |
| 发表日期 | 2016-03-15 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We develop and estimate a multifactor affine model of commodity futures that allows for stochastic seasonality. We document the existence of stochastic seasonal fluctuations in commodity futures and that properly accounting for the cost-of-carry curve requires at least three factors. We estimate the model using data on heating oil futures and analyze the contribution of the factors to risk premia. Correctly specifying seasonality as stochastic is important to avoid erroneously assigning those fluctuations to other risk factors. We also estimate a nonlinear version of the model that imposes the zero lower bound on interest rates and find similar results. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Commodity futures Nelson and siegel Seasonality risk premium Theory of storage |
| URL | https://cepr.org/publications/dp11169 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539986 |
| 推荐引用方式 GB/T 7714 | Ivan Petrella,Martin Sola,Constantino Hevia. DP11169 Risk Premia and Seasonality in Commodity Futures. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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