engleski

Visualizing Risk Premiums in Commodity Futures Markets

Utilizing realized prediction errors we can graphically show the forecasting performance of futures prices over an extended time period. Using this method we can easily identify time‐to‐maturity and seasonality components of risk premiums. Figures developed reveal nonlinear behavior of forecasting bias in the time‐to‐maturity dimension, and the importance of information revealed at the end of June for seasonal pattern of bias. In further research we will develop statistical tests for futures prices unbiasedness based on correlated realized prediction errors.

commodity markets; visualization; risk premium

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