Interpolating commodity futures prices with Kriging

  title={Interpolating commodity futures prices with Kriging},
  author={Andrea Maran and Andrea Pallavicini},
  journal={SSRN Electronic Journal},
The shape of the futures term structure is essential to commodity hedgers and speculators as futures prices serve as a forecast of future spot prices. Commodity markets quotes futures prices on a selection of maturities and delivery periods. In this note we investigate a Bayesian technique known as Kriging to build a term structure of futures prices by embedding trends and seasonalities and by ensuring no-arbitrage conditions between different delivery periods. JEL classification codes: C11… 

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