An N-factor Gaussian model of oil futures prices

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dc.contributor.authorCortazar, G
dc.contributor.authorNaranjo, L
dc.date.accessioned2024-01-10T12:04:14Z
dc.date.available2024-01-10T12:04:14Z
dc.date.issued2006
dc.description.abstractThis article studies the ability of an N-factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches of aggregating data for a set of maturities. A Kalman filter estimation procedure that allows for a time-dependent number of daily observations is used to calibrate the model. When applied to all daily oil futures price transactions from 1992 to 2001, the model performs very well, requiring at least three factors to explain the term structure of futures prices, but four factors to fit the volatility term structure. The model also performs very well for daily copper futures transactions from 1992 to 2001 and for out-of-sample daily oil futures transactions from 2002 to 2004. (c) 2006 Wiley Periodicals, Inc.
dc.fechaingreso.objetodigital05-04-2024
dc.format.extent26 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1002/fut.20198
dc.identifier.issn0270-7314
dc.identifier.urihttps://doi.org/10.1002/fut.20198
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/75733
dc.identifier.wosidWOS:000234980200002
dc.information.autorucIngeniería;Cortázar G;S/I;99516
dc.issue.numero3
dc.language.isoen
dc.nota.accesoContenido parcial
dc.pagina.final268
dc.pagina.inicio243
dc.publisherJOHN WILEY & SONS INC
dc.revistaJOURNAL OF FUTURES MARKETS
dc.rightsacceso restringido
dc.subjectTERM-STRUCTURE MODELS
dc.subjectSTOCHASTIC CONVENIENCE YIELD
dc.subjectINTEREST-RATES
dc.subjectCOMMODITY FUTURES
dc.subjectCONTINGENT CLAIMS
dc.subjectEQUILIBRIUM
dc.subjectVALUATION
dc.subjectDYNAMICS
dc.subjectOPTIONS
dc.subjectREVERSION
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleAn N-factor Gaussian model of oil futures prices
dc.typeartículo
dc.volumen26
sipa.codpersvinculados99516
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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