A Matter of Principal
Lautier, Delphine (2005), A Matter of Principal, Energy Risk, p. 58-62
TypeArticle accepté pour publication ou publié
Journal nameEnergy Risk
MetadataShow full item record
Abstract (EN)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.
Subjects / KeywordsOil; Technology
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