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Risk premia and seasonality in commodity futures
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Hevia, Constantino, Petrella, Ivan and Sola, Martin (2018) Risk premia and seasonality in commodity futures. Journal of Applied Econometrics, 33 (6). pp. 853-873. doi:10.1002/jae.2631
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WRAP-risk-premia-seasonality-commodity-futures-Petrella-2018.pdf - Accepted Version - Requires a PDF viewer. Download (1242Kb) | Preview |
Official URL: https://doi.org/10.1002/jae.2631
Abstract
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.
| Item Type: | Journal Article | ||||||||
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| Subjects: | H Social Sciences > HG Finance | ||||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
| Journal or Publication Title: | Journal of Applied Econometrics | ||||||||
| Publisher: | Wiley-Blackwell Publishing, Inc | ||||||||
| ISSN: | 0883-7252 | ||||||||
| Official Date: | September 2018 | ||||||||
| Dates: |
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| Volume: | 33 | ||||||||
| Number: | 6 | ||||||||
| Page Range: | pp. 853-873 | ||||||||
| DOI: | 10.1002/jae.2631 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Reuse Statement (publisher, data, author rights): | "This is the peer reviewed version of the following article: Hevia C, Petrella I, Sola M. Risk premia and seasonality in commodity futures. J Appl Econ. 2018;1–21. which has been published in final form at https://doi.org/10.1002/jae.2631. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions." | ||||||||
| Access rights to Published version: | Restricted or Subscription Access |
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