Rolling over stock index futures contracts

By Óscar Carchano, Ángel Pardo. 2009

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A model of carbon price interactions with macroeconomic and energy dynamics (2011, methodology): “42 As noted by Cecchetti et al. (1990), this is a one-sided test of symmetry against the alternative of negative skewness.”
Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets (2012, methodology): “As identified by Carchano and Pardo (2009), there is no established method to account for the rollover effect when creating a continuous price level series.”