Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

I need to de-seasonalize Nat Gas futures data for a project and am hoping to get good suggestions. As we all know natural gas futures are priced higher for the winter months and to analyze/model the term structure we need to de-seasonalize the data.

Any ideas how would one do it?

share|improve this question
    
Section 5.2.1 of the book "Commodity Option Pricing - A practioner's guide", by Iain Clark, have provided one such approach for deseasonalizing the natural gas forward curves. –  Gordon Aug 14 at 17:33

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.