
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 publiéDate
2005Journal name
Energy RiskPublisher
Risk.net
Pages
58-62
Metadata
Show full item recordAuthor(s)
Lautier, DelphineAbstract (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; TechnologyRelated items
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