In this paper, calendar seasonality patterns are examined from day-of-the-week effect across weekly patterns, monthly …

, characterized either by seasonality in the delivery period or by a term-structure effect, and identify the resulting MPDP in both …

approach. Our modeling acknowledges that commodities exhibit seasonality <p> patterns in both spot price level and volatility …

trigonometric specification. First, we show that, given the isomorphism between the trigonometrical and alternative seasonality …

from the Nasdaq OMX Commodities exchange. We calibrate the shaping model to prevailing electricity forward prices and …

seasonality. Based on this evidence, a theoretical model is presented and estimated to characterize the commodity convenience … yield dynamics that are consistent with previous findings. We also show that commodity price seasonality is better estimated …

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …