Interpolating commodity futures prices with Kriging

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


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 or view our subscription options here:

You are currently unable to copy this content. Please contact 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 View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a 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