Commodity Seasonality Adjustment
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13.11.2022
Co-author
Affiliation
BMO
Main category
Economics (Finance)
Abstract
Due to seasonality effects in the futures price dynamics, standard principal component (PC) analysis will introduce season-averaging effects that distort the analysis results. To get around this, we proceed as earlier and split the data into different t-buckets, with a separate PC analysis performed for daily increments in each bucket.
Further information
Further reading
https://ia601508.us.archive.org/12/items/seasonality-adj/SeasonalityAdj.pdf
Language
English
DOI
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