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...

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...

Time series analysis of daily Nigerian Naira-US Dollar Exchange Rates (DNDER) data is conducted. The time plot reveals a positive trend. Seasonality of order 7 is observed; troughs tend to appear on Mondays and peaks on Fridays. Seasonal differencing once produced a series SDDNDER with a slightly...