Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
“We extend the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long and short term dynamic factors to be mean reverting incorporating stochastic volatility factors and secondly we develop an additive structural seasonality model.”
AssetCommoditiesoptions, futures
StrategyFactor investing
TechniqueState-space modellinear factor model
Long/shortLong-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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