Carry - strategy

## [Carry](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2632697) 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](https://www.ssc.wisc.edu/~bhansen/390/2010/390Lecture8.pdf)


## 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](https://www.bbk.ac.uk/cfc/pdfs/conference%20papers/Wed/RichterSorensen.pdf)

- 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/
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