I am reading Value-at-Risk Second Edition – by Glyn A. Holton


From 6.6.1 "The standard means of obtaining continual time series from futures prices is to use nearby series or simply nearbys."

In 6.6.2 (see link above) there is a guide for creating a return-adjusted nearby, I'm not sure I understand without an example. Does it mean that returns are created only for each separate contract in a nearby (not from the end of one to the start of another), and then these series of returns are multiplied by a series of historical prices, to get approximate historical prices? How exactly is this implemented?

  • $\begingroup$ I worked on series like these for years and never heard the term 'nearbys' - gotta love finance. I suggest you search on 'continuous contract series'. $\endgroup$ Commented Dec 21, 2021 at 13:34


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