I would like to be able to analyse futures prices as one continuous time series, so what kinds of methods exist for combining the prices for the various delivery dates into a single time series?
I am assuming you would just use the front date for most of the time, and then combine this into some kind of weighted combination of the front and second month to simulate the roll.
A quick Google search has shown that there seems to be a number of methods for doing this. Are any considered standard?
In terms of my ultimate goal, I would like a single time series of prices (I can live with just using closing prices rather then OHLC data) so that I can estimate historical volatilities in the prices.