Commodity futures prices are usually modelled using affine term structure spot price models with latent factors extracted from the data. However, very little research to date has considered the question -- What are the economic drivers behind the calibrated latent factors? This paper addresses...

This paper analyzes long- and short- term jumps in commodity futures from the statistical and economic perspectives. First we show that both commodity futures returns and convenience yields are strongly leptokurtic. Thus, we propose a non-Gaussian model by adding jumps to the Schwartz-Smith...

We introduce a new methodology to estimate the latent factors of a multivariate jump diffusion process illustrated with an application to the commodity futures term structure. Specifically, we propose a new state space form and then use a modified Kalman filter to estimate models with latent...

Exponential affine models (EAMs) are factor models popular in financial asset pricing requiring a dynamic term structure, such as for interest rates and commodity futures. When implementing EAMs it is usual to first specify the model in state space form (SSF) and then to estimate it using the...