Interpolating commodity futures prices with Kriging

A futures price’s term structure is built to account for trends and seasonality effects

CLICK HERE TO DOWNLOAD THE PDF

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: