Seasonal patterns in economic time series are generally examined from a univariate point of view. Using extensions of the unit root literature, important classes of seasonal processes are deterministic, stationary stochastic or mean reverting, and unit root stochastic. Time series tests have...

The industry standard model for commodity price dynamics implies constant correlation between returns of futures with different tenors. We extend the model by allowing its parameters to vary over time. This practice enables us to capture the seasonality effect embedded in the evolution of a...

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...