Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices

Maples, JG; Brorsen, BW

Maples, JG (通讯作者),Mississippi State Univ, Dept Agr Econ, 318 Lloyd Ricks Watson Bldg,255 Tracy Dr, Mississippi State, MS 39762 USA.

CANADIAN JOURNAL OF AGRICULTURAL ECONOMICS-REVUE CANADIENNE D AGROECONOMIE, 2022; 70 (2): 139

Abstract

Futures prices are discontinuous, with each future price series ending at maturity. Differencing before splicing can create a continuous future return......

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