A TERM STRUCTURE MODEL FOR AGRICULTURAL FUTURES
Fackler, Paul L.; Roberts, Matthew C.
1999

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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.

Details

Title A TERM STRUCTURE MODEL FOR AGRICULTURAL FUTURES
Keywords
Author(s) Fackler, Paul L.
Roberts, Matthew C.
Subject(s)
Issue Date 1999
Publication Type Conference Paper/ Presentation
DOI and Other Identifiers 10.22004/ag.econ.21543
Record Identifier https://ageconsearch.umn.edu/record/21543
PURL Identifier http://purl.umn.edu/21543
Language English
Total Pages 12
Series Statement Selected Paper
Record Appears in Agricultural and Applied Economics Association (AAEA) > Agricultural and Applied Economics Association (AAEA) Conferences > 1999 Annual meeting, August 8-11, Nashville, TN

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