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.

MoreLess

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

More details

Extent:	application/pdf
Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Energy Risk, 2005. pp. 58-62.Length: 4 pages
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/10010707599