• myGriffith
    • Staff portal
    • Contact Us⌄
      • Future student enquiries 1800 677 728
      • Current student enquiries 1800 154 055
      • International enquiries +61 7 3735 6425
      • General enquiries 07 3735 7111
      • Online enquiries
      • Staff phonebook
    View Item 
    •   Home
    • Griffith Research Online
    • Journal articles
    • View Item
    • Home
    • Griffith Research Online
    • Journal articles
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

  • All of Griffith Research Online
    • Communities & Collections
    • Authors
    • By Issue Date
    • Titles
  • This Collection
    • Authors
    • By Issue Date
    • Titles
  • Statistics

  • Most Popular Items
  • Statistics by Country
  • Most Popular Authors
  • Support

  • Contact us
  • FAQs
  • Admin login

  • Login
  • Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model

    Thumbnail
    View/Open
    81164_1.pdf (361.3Kb)
    Author(s)
    West, Jason
    Griffith University Author(s)
    West, Jason
    Year published
    2012
    Metadata
    Show full item record
    Abstract
    Over the counter (OTC) forward contracts are regularly traded by hedgers at maturities beyond the longest-dated futures contract. The presence of seasonality in agricultural commodities creates additional uncertainty for obtaining fair prices for OTC forward contract trades beyond the liquid futures strip. This paper employs an augmented Nelson-Siegel function to obtain seasonal agricultural commodity price estimates for OTC forward contracts beyond the longest available maturity of exchange traded futures contracts. A multifactor seasonal Nelson-Siegel model is chosen due to its internally consistent and parsimonious ...
    View more >
    Over the counter (OTC) forward contracts are regularly traded by hedgers at maturities beyond the longest-dated futures contract. The presence of seasonality in agricultural commodities creates additional uncertainty for obtaining fair prices for OTC forward contract trades beyond the liquid futures strip. This paper employs an augmented Nelson-Siegel function to obtain seasonal agricultural commodity price estimates for OTC forward contracts beyond the longest available maturity of exchange traded futures contracts. A multifactor seasonal Nelson-Siegel model is chosen due to its internally consistent and parsimonious functional form. The Nelson-Siegel approach is used to model seasonally adjusted corn, cotton and sugar forward prices for OTC contracts out to five years maturity calibrated against shorter-dated futures contracts. Residual and contract liquidity testing indicates that the seasonal model provides efficient estimates of contract prices beyond the futures strip which allows agricultural commodity hedgers to obtain fair prices for OTC forward contracts.
    View less >
    Journal Title
    International Journal of Business and Management
    Volume
    7
    Issue
    3
    DOI
    https://doi.org/10.5539/ijbm.v7n3p78
    Copyright Statement
    © The Author(s) 2012. The attached file is reproduced here in accordance with the copyright policy of the publisher. For information about this journal please refer to the journal’s website or contact the author.
    Subject
    Financial Econometrics
    Business and Management
    Marketing
    Publication URI
    http://hdl.handle.net/10072/47614
    Collection
    • Journal articles

    Footer

    Disclaimer

    • Privacy policy
    • Copyright matters
    • CRICOS Provider - 00233E

    Tagline

    • Gold Coast
    • Logan
    • Brisbane - Queensland, Australia
    First Peoples of Australia
    • Aboriginal
    • Torres Strait Islander