A Matter of Principal.

Developing term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements, test their stability over time and to discover whether the maturity date affects price dynamics.

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Year of publication:	2005-11
Authors:	Lautier, Delphine
Institutions:	Université Paris-Dauphine
Subject:	Oil \| Technology

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Extent:	application/pdf
Series:	Open Access publications from Université Paris-Dauphine.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Energy Risk (2005-11) v., p.58-62
Classification:	C52 - Model Evaluation and Testing ; G13 - Contingent Pricing; Futures Pricing ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008790080