Before revision:  We confirm the importance of correctly modelling the Samuelson effect in order to account for futures with different maturities. We also see that the seasonal model significantly outperforms the nested non-seasonal model in all five markets, and  show which seasonality patterns are particularly well-suited for each market .
After revision:  The seasonal model significantly outperforms the nested non-seasonal model in all five markets, and show which seasonality patterns are particularly well-suited for each market .