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Herce, Miguel 1 Parsons, John E. 1 Ready, Robert C. 1
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Using Futures Prices to Filter Short-Term Volatility and Recover a Latent, Long-Term Price Series for Oil
Parsons, John E. - 2008
Oil prices are very volatile. But much of this volatility seems to reflect short-term, transitory factors that may have little or no influence on the price in the long run. Many major investment decisions should be guided by a model of the long-term price of oil and its dynamics. Data on futures...
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