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A Matter of Principal

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  • Lautier, Delphine

Abstract

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.

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File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/5471/1/Amatterofprincipal.pdf
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Bibliographic Info

Paper provided by Université Paris-Dauphine in its series Open Access publications from Université Paris-Dauphine with number urn:hdl:123456789/5471.

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Date of creation: Nov 2005
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Publication status: Published in Energy Risk (2005-11) v., p.58-62
Handle: RePEc:ner:dauphi:urn:hdl:123456789/5471

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Web page: http://www.dauphine.fr/en/welcome.html

Related research

Keywords: Oil; Technology;

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Cited by:
  1. Chantziara, Thalia & Skiadopoulos, George, 2008. "Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets," Energy Economics, Elsevier, vol. 30(3), pages 962-985, May.

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