Carry - strategy

Carry by Koijen-Moskowitz-Pedersen-Vrugt

https://www.atlantafed.org/cenfis/publications/notesfromthevault/03-carry-factors-characteristics-and-informational-content-2019-03-29

• https://www.sr-sv.com/commodity-carry/

https://en.wikipedia.org/wiki/Seasonality

https://towardsdatascience.com/trend-seasonality-moving-average-auto-regressive-model-my-journey-to-time-series-data-with-edc4c0c8284b

deterministic AND stochastic seasonality

Seasonality Models

• 2018 Hevia-Petrolla-Sola https://www.sr-sv.com/seasonal-effects-in-commodity-futures-curves/

https://warwick.ac.uk/fac/soc/wbs/subjects/emf/research/papers/hps_jae_wp_final.pdf

• 2006 https://staff.fnwi.uva.nl/p.j.c.spreij/winterschool/7borovkovageman.pdf

deterministic seasonal cost-of-carry

• 2002 Richter-Sorensen Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans

• 2002 Sorensen https://www.researchgate.net/publication/285621098_Modeling_Seasonality_in_Agricultural_Commodity_Futures

deterministic seasonal price

https://alphaarchitect.com/2018/08/the-carry-factor-and-global-risks/