Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
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Understanding the shape of the futures term structure is essential to commodity hedgers and speculators, as futures prices serve as a forecast of future spot prices. Commodity markets quote futures prices for a selection of maturities and delivery periods. In this paper, Andrea Maran and Andrea Pallavicini investigate a Bayesian technique known as Kriging to build a term structure of futures prices by embedding trends and seasonality effects and by taking into
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