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This strategy precludes a full understanding of these markets and can induce complicated nonlinear dynamics in the data. In this paper, I introduce the partially overlapping time series (POTS) model to model jointly all traded contracts. The POTS model incorporates time\u2010to\u2010delivery, storability, seasonality and GARCH effects. I apply the POTS model to corn futures at the Chicago Board of Trade and the results uncover substantial inefficiency associated with delivery on corn futures. The results also support two theories of commodity pricing: the theory of storage and the Samuelson effect. Copyright \u00a9 2005 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.846","type":"journal-article","created":{"date-parts":[[2005,4,14]],"date-time":"2005-04-14T12:46:51Z","timestamp":1113482811000},"page":"405-422","source":"Crossref","is-referenced-by-count":32,"title":["Partially overlapping time series: a new model for volatility dynamics in commodity futures"],"prefix":"10.1002","volume":"20","author":[{"given":"Aaron","family":"Smith","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2005,4,14]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990050305"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297415"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060202"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990130604"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_7_7_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.2517-6161.1977.tb01600.x","article-title":"Maximum likelihood from incomplete data via the EM algorithm","volume":"39","author":"Dempster AP","year":"1977","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950040102"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009063"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2999632"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb03957.x"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/1096-9934(200009)20:8<753::AID-FUT3>3.0.CO;2-F"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1086\/258467"},{"key":"e_1_2_7_15_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton JD","year":"1994"},{"key":"e_1_2_7_16_1","volume-title":"A Treatise on Money (Volume II): The Applied Theory of Money","author":"Keynes JM","year":"1930"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120108"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1086\/296630"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00248"},{"key":"e_1_2_7_20_1","first-page":"41","article-title":"Proof that properly anticipated futures prices fluctuate randomly","volume":"6","author":"Samuelson PA","year":"1965","journal-title":"Industrial Management Review"},{"key":"e_1_2_7_21_1","volume-title":"The Economics of Futures Markets","author":"Stein JL","year":"1986"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/fut.3990120609"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1086\/258036"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/261499"},{"key":"e_1_2_7_25_1","volume-title":"Handbook of Agricultural Economics","author":"Williams JC","year":"2001"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1232678"},{"key":"e_1_2_7_27_1","first-page":"1254","article-title":"The theory of price of storage","volume":"39","author":"Working H","year":"1949","journal-title":"American Economic Review"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.846","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.846","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,31]],"date-time":"2024-12-31T17:44:21Z","timestamp":1735667061000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.846"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2005,3]]},"references-count":26,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2005,3]]}},"alternative-id":["10.1002\/jae.846"],"URL":"https:\/\/doi.org\/10.1002\/jae.846","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2005,3]]}}}