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~institution:"Erasmus University Rotterdam, Econometric Institute"
~institution:"HAL"
~person:"Gobet, Emmanuel"
~subject:"arbitrage free modelling"
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arbitrage free modelling
Vectorial Error Correction Model
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cointegration
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crude oil
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future prices
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natural gas
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Gobet, Emmanuel
Benmenzer, Grégory
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Jérusalem, Céline
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HAL
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Arbitrage free cointegrated models in gas and oil future markets
Benmenzer, Grégory
;
Gobet, Emmanuel
;
Jérusalem, Céline
-
HAL
-
2007
In this article we present a continuous time model for natural gas and
crude
oil
future prices. Its main feature is the …
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