Modeling seasonality in agricultural commodity futures
By Carsten Sørensen. 2002
249 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/d5dcc825e9ceb75eacf8d45a6111c88185d3e406
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Lorenzo Naranjo
- Francisco Eterovic
- Marcel Prokopczuk
- Chris Brooks
- Gonzalo Cortazar
- Richard Gerlach
- Cathy W. S. Chen
- Martin Eling
In Finance
- Lorenzo Naranjo
- Marcel Prokopczuk
- Francisco Eterovic
- Chris Brooks
- Gonzalo Cortazar
- Richard Gerlach
- Cathy W. S. Chen
- Perry Sadorsky
Citations in the corpus
- Can oil prices help estimate commodity futures prices? The cases of copper and silver (2010, background): “premiums (Laughton and Jacoby, 1993; Sorensen, 2002; Manoliu and Tompaidis, 2002; Cortazar and Schwartz, 2003; Casassus and Collin-Dufresne, 2005).”
- The dynamics of commodity prices (2013, methodology): “Sorensen (2002) and Manoliu and Tompaidis (2002) apply the model of Schwartz and Smith (2000) to the agricultural and natural gas futures markets, respectively.”
- An N‐factor Gaussian model of oil futures prices (2006, methodology): “Sørensen (2002) uses this procedure for a seasonal price model, and Cortazar, Schwartz, and Naranjo (2003) use it for estimating the term structure of interest rates in an emerging market with lowfrequency transactions.”