Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation

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Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation

This study examines bias in a term-structure model of commodity prices in specifying the true stochastic dynamics of underlying spot price. The bias is quantified by comparing the model estimated by the conventional method of estimating all model parameters simultaneously with a panel of futures pri...

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Bibliographic Details
Main Author:	Suenaga, Hiroaki
Format:	Journal Article
Published:	Elsevier Science 2013
Subjects:	Commodity prices Term-structure model Volatility
Online Access:	http://hdl.handle.net/20.500.11937/45840

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