A Seasonal Stochastic Volatility Model for Futures Price Term Structure
نویسندگان
چکیده
Pricing and estimation issues of exponential aÆne stochastic volatility models are discussed. One speci c model is estimated with Chicago Board of Trade futures price data, where the instantaneous mean and volatility of commodity spot price are allowed to be time varying. Model performance is evaluated based on its t to the futures price term structure and the model implied state variable behavior.
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