A functional time series analysis of forward curves derived from commodity futures
Lajos Horváth, Zhenya Liu, Gregory Rice, Shixuan Wang
| Year of publication: |
2020
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|---|---|
| Authors: | Horváth, Lajos ; Liu, Zhenya ; Rice, Gregory ; Wang, Shixuan |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 2, p. 646-665
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| Subject: | Forward curves | S&P GSCI | Commodity futures | Functional data analysis | Functional autoregressive models | Functional principal component analysis | Rohstoffderivat | Commodity derivative | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Derivat | Derivative | Warenbörse | Commodity exchange | Autokorrelation | Autocorrelation | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2019.08.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012415316