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A Matter of Principal

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A matter of principal.pdf (41.38Kb)
Date
2005
Dewey
Economie financière
Sujet
Oil; Technology
JEL code
C52; G13; C13
Journal issue
Energy Risk
Publication date
11-2005
Article pages
58-62
Publisher
Risk.net
URI
https://basepub.dauphine.fr/handle/123456789/5471
Collections
  • DRM : Publications
Metadata
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Author
Lautier, Delphine
Type
Article accepté pour publication ou publié
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.

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