This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...

We study a bivariate latent factor model for the pricing of commodity fu- tures. The two unobservable state variables representing the short and long term fac- tors are modelled as Ornstein-Uhlenbeck (OU) processes. The Kalman Filter (KF) algorithm has been implemented to estimate the...