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A Matter of Principal

Lautier, Delphine (2005), A Matter of Principal, Energy Risk, p. 58-62

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Type
Article accepté pour publication ou publié
Date
2005
Journal name
Energy Risk
Publisher
Risk.net
Pages
58-62
Metadata
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Author(s)
Lautier, Delphine
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 / Keywords
Oil; Technology
JEL
C52 - Model Evaluation, Validation, and Selection
G13 - Contingent Pricing; Futures Pricing
C13 - Estimation: General