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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
    DOI: 10.22004/ag.econ.21543
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    Cited by:

    1. Power, Gabriel J. & Eaves, James & Turvey, Calum & Vedenov, Dmitry, 2017. "Catching the curl: Wavelet thresholding improves forward curve modelling," Economic Modelling, Elsevier, vol. 64(C), pages 312-321.
    2. Lin, Chuanyi & Roberts, Matthew C., 2006. "Storability on Modeling Commodity Futures Prices," 2006 Annual meeting, July 23-26, Long Beach, CA 21484, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Max F. Schöne & Stefan Spinler, 2017. "A four-factor stochastic volatility model of commodity prices," Review of Derivatives Research, Springer, vol. 20(2), pages 135-165, July.
    4. Sheng-Hung Chen & Song-Zan Chiou-Wei & Zhen Zhu, 2022. "Stochastic seasonality in commodity prices: the case of US natural gas," Empirical Economics, Springer, vol. 62(5), pages 2263-2284, May.

    More about this item

    Keywords

    Demand and Price Analysis; Marketing;

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