Risk premia and seasonality in commodity futures
构建并估计了一个允许随机季节性的多因子仿射模型，利用取暖油期货数据分析了因子对风险溢价的贡献，发现正确设定随机季节性可避免误将波动归因于其他风险因子。
Summary We develop and estimate a multifactor affine model of commodity futures that allows for stochastic seasonality. We document the existence of stochastic seasonal fluctuations in commodity futures and that properly accounting for the cost‐of‐carry curve requires at least three factors. We estimate the model using data on heating oil futures and analyze the contribution of the factors to risk premia. Correctly specifying seasonality as stochastic is important to avoid erroneously assigning those fluctuations to other risk factors. We also estimate a nonlinear version of the model that imposes the zero lower bound on interest rates and find similar results.