Stochastic Surface Models for Commodity Futures: A 2D Kalman Filter Approach
AbstractWe propose a two-dimensional Kalman filter approach that, additional to the information contained in futures prices evolution over time, makes use of information contained in the term structure of commodity futures along a second dimension of maturities. This time-maturity surface reflects a complete realization of the stochastic process as an alternative to standard Kalman filtering of a limited vector of futures prices along the one-dimensional time line. Thus, the proposed methodology may use the full information from the entire surface dynamics, including links from all available maturities per period, which eventually should lead to more accurate model parameter estimates. The technique is illustrated using coal futures prices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 2011-05.
Date of creation: Sep 2011
Date of revision:
Postal: Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-08 (All new papers)
- NEP-ETS-2012-02-08 (Econometric Time Series)
- NEP-ORE-2012-02-08 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
- Abadie, Luis M. & Chamorro, José M., 2008.
"Valuing flexibility: The case of an Integrated Gasification Combined Cycle power plant,"
Elsevier, vol. 30(4), pages 1850-1881, July.
- Chamorro Gómez, José Manuel & Abadie, Luis M., 2005. "Valuing Flexibility: The case of an Integrated Gasification Combined Cycle Power Plant," IKERLANAK 2005-21, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
- Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2004.
"The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach,"
NBER Working Papers
10616, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006. "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 309-338.
- Fernández-Macho, Javier, 2008. "Spectral estimation of a structural thin-plate smoothing model," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 189-195, September.
- Eduardo Schwartz & James E. Smith, 2000. "Short-Term Variations and Long-Term Dynamics in Commodity Prices," Management Science, INFORMS, vol. 46(7), pages 893-911, July.
- Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alcira Macías).
If references are entirely missing, you can add them using this form.