[R-SIG-Finance] Futures contract

Whit Armstrong armstrong.whit at gmail.com
Thu Jun 10 13:34:55 CEST 2010

typically one uses a continuous futures series for estimation of variance.

Or if you have a factor model use it to produce a time series of
returns from your 'near to inception' futures contract.


On Thu, Jun 10, 2010 at 7:26 AM, Christofer Bogaso
<bogaso.christofer at gmail.com> wrote:
> Dear finance gurus, I would like to ask how you construct VCV matrix
> and Mean vector for different futures contracts on same and/or different
> underlying. My problem is, when I am near to the inception of some futures
> contract, I would not have so many historical futures quotes to legitimately
> calculate VCV matrix.
> Thanks for you attention
>        [[alternative HTML version deleted]]
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